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11. An analyst has been asked to check for arbitrage opportunities in the Treasury bond market by comparing the cash flows of selected bonds with

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11. An analyst has been asked to check for arbitrage opportunities in the Treasury bond market by comparing the cash flows of selected bonds with the cash flows of combinations of other bonds. If a 1-year zero-coupon bond is priced at USD 96.12 and a 1-year bond paying a 10% coupon semi-annually is priced at USD 106.20, what should be the price of a 1-year Treasury bond that pays a coupon of 8% semi-annually? a. USD 98.10 b. USD 101.23 6. USD 103.35 d. USD 104.18

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