A zero-coupon bond has par value $95 and one year to maturity, at which time it may default. From Merton's model, you estimate that the risk-neutral probability of default to be 20% and the present value of recovery to be $51. Find the expected value that will be recovered at maturity, given risk-free interest rate of 5%. Hint: in default, it's the recovery value at that point; if there is no default, it's the par value.

	a.	$95
	b.	$86.72
	c.	$53.61
	d.	$86.20