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

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