(S000)dxa0S$=((7L)d)dxa(7)S %0= e puapisa %6= aqed 152saqu For European style options it is know that the put (struck at the forward price) and the call (struck at the forward price) have the same price. This is true in any model. As discussed in part a) Black Scholes assume that log(S(T)) is distributed normally. This means that the resulting distribution for S(T) is not symmetric. It is fatter to the right than to the left because of the nature of the exponential function. In the Black Scholes we get, for the two at-the-money-forward options, a call delta > +0.5 and a put delta >0.5 If we had normality (instead of lognormality) can you suggest what the delta would be