Question: Q1. Consider Call A , with K = $70; r = 0.06; T - t = 90 days; s = 0.4; and S = $60

Q1. Consider Call A, with K = $70; r = 0.06; T - t = 90 days; s = 0.4; and S = $60 andPut A, on the same

stock, with: K = $70; r = 0.06; T - t = 90 days; s = 0.4.You short a straddle comprised of 100 Calls A and 100 Puts A.

1.1Compute the initial cash flow of the straddle.

1.2 Calculate the DELTA, GAMMA, THETA, VEGA, and RHO of this straddle.

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