You Have $1250 000 Invested in a Property Index,which Has

Multiple Choice

You have $1250 000 invested in a property index,which has a current value of 9000.0.If a put option is available with an exercise price of 11500,standard deviation of returns is 40%,time to maturity is 9 months and risk-free rate is 8% p.a. ,how many contracts are required for an exact hedge of this index? Assume an index point value of $10.00.

A) 10
B) 11
C) 24
D) 50