The Spot Price of the Market Index Is $900

Multiple Choice

The spot price of the market index is $900.After 3 months the market index is priced at $920.The annual rate of interest on treasuries is 2.4% (0.2% per month) .The premium on the long put,with an exercise price of $930,is $8.00.At what index price does a long put investor have the same payoff as a short index investor? Assume the short position has a breakeven price of $930.

A) $921.90
B) $930.00
C) $938.05
D) $940.00