An S&P 500 index linked CD matures in 3 years, with the face value the same as the current S&P 500 index price, $ 1350. Upon its maturity, the investor will be paid back the face value, plus 80% of the gain on the S&P 500 index.The S&P 500 continuous dividendyield is 1.5% and continuously compounded risk-free rate is 6%. The S&P 500 volatility is 25%. What is the Black-Scholes price of theembedded option in this CD?