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在bionicturtle看到几个问题。。上面没有答案，求助于大家帮忙解答下~谢谢！
For the following, assume the initial delta of an at-the-money call option with strike at $20 and the BSM model-based option DELTA is 0.5; i.e., d1 = 0 and NORMSDIST(d1) = 0.5.
08.01. If there is no volatility smile (i.e., flat implied volatility curve), ceteris paribus, what is the option delta when stock price decreases to $19 (from ATM to slightly ITM).
- a. delta remains 0.5
- b. delta > 0.5
- c. delta < 0.5
- d. unclear
08.02 If “crashophobia” instead prevails such that volatility is a decreasing function of PUT moneyness (implied volatility decreases as K/S increases), what is the revised ATM delta of the call option?
- a. delta remains 0.5
- b. delta > 0.5
- c. delta < 0.5
- d. unclear
08.03 If asset returns are not lognormal but rather exhibit a LIGHT tail on the left and a HEAVY tail on the right, what is the revised ATM delta of the call option?
- a. delta remains 0.5
- b. delta > 0.5
- c. delta < 0.5
- d. unclear
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