A fund manager has a well-diversified portfolio that mirrors the performance of the S&P 500 and is worth $360 million. The value of the S&P500 index is 1.200, and the portfolio manager would like to buy insurance against a reduction of more than 5% in the value of the portfolio over the next six months. The risk-free rate is 6% per annum (cc). The dividend yield on both the portfolio and the S&P500 is 3%, and the volatility of the index is 30% per annum. A) If the fund manager buys traded European put options, how much would the insurance cost? B) B) What will be the value of the portfolio if in six months the value of the S&P 500 is 1050? C) C) What will be the value of the portfolio if in six months the value of the S&P 500 is 1300?