The S&P 500 Index Is Trading at a Level of 1200.The

question 29

Multiple Choice

The S&P 500 index is trading at a level of 1200.The rate of interest is 2%.The average rate of dividends for stocks in the index is 3%.Index volatility is 20%.What is the Black-Scholes price of a one-year at-the-money put option on the index?

• A)$98.90
• B)$99.10
• C)$99.20
• D)$99.25

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Definitions:

Thromboplastin

A plasma protein that plays a key role in the blood clotting process.

Clotting

The process by which blood changes from a liquid to a solid state, forming a clot to prevent excessive bleeding when vessels are injured.

Capillary Bed

A network of small blood vessels known as capillaries, which facilitate the exchange of oxygen, nutrients, and waste materials between the blood and tissues.

Vena Cava

A large vein carrying deoxygenated blood into the heart, consisting of two main branches, the superior and inferior vena cava.