The Securities and Exchange Commission requires firms to submit various documents to increase the flow of information to investors but does not verify the accuracy of that information

All of the following statements about current assumption whole life insurance are true EXCEPT

A) It is a form of participating whole life insurance that pays annual dividends. B) An accumulation account is credited with an interest rate based on present market conditions and company experience. C) Under the low-premium version, the premium is subject to change after an initial guaranteed period. D) Under the high-premium version, the premium may be discontinued after a period of time.

The underlying stock for a European exchange option has S = $27.15, div = 2.0%, and

? = 0.18. The strike stock has S = $30.00, div = 0.0%, and ? = 0.22. The two stocks have a correlation coefficient of 0.73. If the exchange option expires in 2 years, what is the price of the call using a Black-Scholes approach? A) $0.88 B) $0.98 C) $1.09 D) $1.19