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The yield curve is flat at 0 % . Consider the following financial assets : - A share of Company A . Company A will

The yield curve is flat at 0%. Consider the following financial assets :
- A share of Company A. Company A will not pay dividends for the next two years. Today's price of the share is S0=94.
- A European put option on one share of company A, maturity 1 year and strike price of 100. Today the premium for this option is P0=20
- A European call option on one share of company A, maturity 1 year and strike price of 100. Today the premium for this option is C0=94-80
- Convertible Bond B which is a 1-year maturity zero-coupon bond with face value of N=100. Bond B has been issued by Company A and at maturity the bond holder can choose between receiving the bond face value of 100, or converting the bond into one share of 1 stock A.
What is the no arbitrage price of the convertible Bond B?

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