Question: I need help with the following problem: FedEx is selling for $105 a share. A FedEx call option with one month until expiration and an

I need help with the following problem:

FedEx is selling for $105 a share. A FedEx call option with one month until expiration and an exercise price of $115 sells for $2.20 while a put with the same strike and expiration sells for $11.56.

a.

What is the market price of a zero-coupon bond with face value $115 and 1 month maturity? (Round your answer to 2 decimal places. Omit the "$" 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

$ %

Thank you.

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