You have been asked to value a three-year, 5% annual pay, bond with the same liquidity and risk as the benchmark spot rates. The face value of the bond is 100. Calculate the arbitrage-free value of the bond given the following spot rate curve: S₁ = 3%, S₂ = 3.75%, and S₃ = 4%.

Group of answer choices

101.50

102.84

98.57

108.63