The annual effective risk-free interest rate is 5%. Option A is a 100-strike European call option on an index with 1 year until expiration. The premium for this option is 22. Option B is a 120-strike European call option on the same index with 1 year until expiration. The premium for this option is 12. An investor purchases Option A and writes Option B. The index price at expiration that will cause the investor to break even is 57. Calculate S. A) 110.00 B) 110.50 C) 111.00 OD) 111.50 E) 115.50