At your favorite bond store, Bonds-R-Us, you see the following prices:

• 1-year $100 zero selling for $90.19
• 3-year 10% coupon $1000 par bond selling for $950
• 2-year 10% coupon $1000 par bond selling for $1000

Assume that the pure expectations theory for the term structure of interest rates holds, no liquidity or maturity premium exists, and the bonds are equally risky.

What is 3-year rate today?

a. 9.95%

b. 9.97%

c. 10.877%

d. 12.28%