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A 100 par value bond maturing in 5 years pays a 6% coupon. A call option on the bond expiring in 2 months has a

A 100 par value bond maturing in 5 years pays a 6% coupon. A call option on the bond expiring in 2 months has a strike price of 99.30 and a premium of 2.25. At what yield to maturity is the bond if the call option is at breakeven (profit/loss = 0)?

- 5.64% - 6.00% - 5.48% - 6.16%

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