Answer Questions 1 Through 6 About Insuring a Portfolio Identical

question 55

Multiple Choice

Answer questions 1 through 6 about insuring a portfolio identical to the S&P 500 worth $12,500,000 with a three-month horizon. The risk-free rate is 7 percent. Three-month T-bills are available at a price of $98.64 per $100 face value. The S&P 500 is at 385. Puts with an exercise price of 390 are available at a price of 13. Calls with an exercise price of 390 are available at a price of 13.125. Round off your answers to the nearest integer.
-What is the minimum value of the insured portfolio?

• A)$16,672,344
• B)$12,500,000
• C)$12,091,709
• D)$12,244,898
• E)$13,375,000