Their house is ____ Park Avenue.
I'm surprised at the number selecting the first answer. I've NEVER heard an American describe their home as being 'in' the road to which it is adjacent. Our houses are in neighborhoods, towns, counties, states, etc., but always on streets, roads, avenues, and bodies of water (except, perhaps, right after a tornado).
Is only one of those choices correct? I have never heard anyone say their house is 'in' an avenue before.