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Question 5 (5 marks) The current level of the S&P250 market index is 950. Using the Black-Scholes option pricing model, calculate the price of a

Question 5 (5 marks) The current level of the S&P250 market index is 950. Using the Black-Scholes option pricing model, calculate the price of a six-month European call option with a strike (exercise) price of 700. The dividend yield of the index is 2% per annum. The risk-free interest rate is 6% per annum with continuous compounding and the share price volatility is 15% per annum

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