Problem 20-30

FedEx is selling for $105 a share. A FedEx call option with one month until expiration and an exercise price of $116 sells for $2.10 while a put with the same strike and expiration sells for $12.22.

a.	What is the market price of a zero-coupon bond with face value $116 and 1 month maturity? (Round your answer to 2 decimal places. Omit the "$" 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

$ %