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- Consider a bull spread where you buy a $40-strike call and sell a $40-strike call, suppose σ = 0.30, r = 0.08, T = 0.5.
- a. Suppose S0 = $40. Please use the Black-Scholes formula to obtain the delta, gamma, vega, and theta for the spread.
- b. Suppose S0 = $45. What are delta, gamma, vega, and theta?