In January 2020, the term-structure of spot rates is as follows (with continuous compounding):

Maturity (years) Zero-rate(%)

1 2.0

2 3.0

3 4.0

A 3-year zero-coupon bond has the face value of $1,000. Consider a 1-year forward contract on the zero coupon bond. What should be the forward price?

(a) $904.84 (b) $923.12 (c) $941.77 (d) $960.79