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Suppose we are given the following information of a stock: S = 100, r = 5%,...

Suppose we are given the following information of a stock: S = 100, r = 5%, σ = 30%, and the stock doesn’t pay any dividend. Calculate the delta of a credit spread using two put options (strike price = $90 and $80) that matures in 0.5 year, based on BSM model.

A. 0.135

B. -0.135

C. 0.337

D. -0.337

Solutions

Expert Solution

Correct answer: A. 0.135

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

Cell reference -

jeff jeffy answered 1 year ago
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