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The six-month zero rate is 6% per annum with continuous compounding. The price of a one-year bond that provides a coupon of 8% per annum

The six-month zero rate is 6% per annum with continuous compounding. The price of a one-year bond that provides a coupon of 8% per annum semi-annually is 96% of its face value.

Which of the following is the closest to the one-year continuously compounded zero rate?

Select one alternative

12.13%

20.21%

11.09%

10.09%

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