Question: Question for next class: Let S 100, KL-90, KH 100,7 -0.05, d0, 0.4, T=0.05. Given a bull spread (long KL, short. Kj, what is

Question for next class: Let S 100, KL-90, KH 100,7 -0.05, d0, 0.4, T=0.05. Given a bull spread (long KL, short. Kj, what is

Question for next class: Let S 100, KL-90, KH 100,7 -0.05, d0, 0.4, T=0.05. Given a bull spread (long KL, short. Kj, what is A for the portfolio? If we neglect the passage of time, how far does the stock price have to drop for the delta hedged portfolio to show 0 profit? 16 16 14 Bull Spread Delta Hedge 12 10 10 8 6 2 0 -2 Zoom Meeting Cont -4

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