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Assume that all face values are $100. The price of a 6-month Treasury bill is $98.99. The price of a one-year Treasury bill is $97.56.

Assume that all face values are $100.

The price of a 6-month Treasury bill is $98.99.

The price of a one-year Treasury bill is $97.56.

The price of a 1.5 year bond that provides a coupon of 4% per annum semiannually is $100.86

Which of the following is correct?

a. The 6 month, 1 year and 1.5 year continuously compounded zero rates are 1.50%, 3.03% and 5.60%, respectively.

b. The 6 month, 1 year and 1.5 year continuously compounded zero rates are 1.02%, 2.47% and 5.10%, respectively.

c. The 6 month, 1 year and 1.5 year continuously compounded zero rates are 2.03%, 2.47% and 3.40%, respectively.

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