Question: Suppose that the continuously compounded zero rates are listed in the table below: Maturity (Months) Zero Rate (%) 6 2.3 12 2.8 18 3.4 24

Suppose that the continuously compounded zero rates are listed in the table below:

Maturity (Months) Zero Rate (%)
6 2.3
12 2.8
18 3.4
24 3.6
30 4.4

Estimate the price of a bond with a face value of $100 that will mature in 30 months and pays a coupon of 10% per annum semiannually.

(Required precision: 0.01 +/- 0.01)

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