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An investment fund indexed to the S & P-500 must ensure the profitability that it generates for investors. In anticipation of a market contraction, he decides to contract a 90-day coverage. The fund informs you that the underlying is located at 2,970.27 points, that it is expected to pay an annual dividend of 1.5% and that the risk-free rates are 2.5% and requests your help in order to estimate the level of the index at which it should settle the contract 

a) 2,940.57 points

b) 2,962.84 points

c) 2,977.70 points

d) 2,999.97 points