Consider a bull spread where you buy a 40-strike put and sell a 45-strike put. Suppose
= 0.30,
= 0.08,
= 0, and
= 0.5.
a. Suppose
= $40. What are delta, gamma, vega, theta, and rho?
b. Suppose
= $45. What are delta, gamma, vega, theta, and rho?
c. Are any of your answers to (a) and (b) different? If so, why?
d. Are any of your answers different in this problem from those in Problem 12.14? If so, why?
Problem 12.14
Consider a bull spread where you buy a 40-strike call and sell a 45-strike call. Suppose
= 0.30,
= 0.08,
= 0, and
= 0.5.
a. Suppose
= $40. What are delta, gamma, vega, theta, and rho?
b. Suppose
= $45. What are delta, gamma, vega, theta, and rho?
c. Are any of your answers to (a) and (b) different? If so, why?