FedEx is selling for $100 a share. A FedEx call option with one month until expiration and
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Question:
| FedEx is selling for $100 a share. A FedEx call option with one month until expiration and an exercise price of $107 sells for $2.20 while a put with the same strike and expiration sells for $7.47. |
| a. | What is the market price of a zero-coupon bond with face value $107 and 1 month maturity?(Round your answer to 2 decimal places. Omit the "$" sign in your response.) |
| Market price | $ |
| b. | What is the risk-free interest rate expressed as an effective annual yield?(Round your answer to 2 decimal places. Omit the "%" sign in your response.) |
| Risk-free interest rate | $% |
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