The three-month S&P 500 index price is standing at 3,570 and has a volatility of 35% per annum.The risk-free interest rate is 2.2% per annum and the dividend yield on the index is 3.5% per annum with continuous compounding. The delta of a three-month European call option on S&P S00 index with a strike price of 3,500 isO0.5000O-0.4240O0.5722O 0.5673