Question: The 3 month and 6 month continuously compounded zero rates are 5% and 6% respectively what are the correct prices of 3 months and 6-month

The 3 month and 6 month continuously compounded zero rates are 5% and 6% respectively what are the correct prices of 3 months and 6-month trasury bills with a face value of 100? which of the following are correct prices of 3 months and 6 month treasury bills with a face value of 100?

a. 97.0445 and 98.7578

b. 98.7578 and 97.0446

c. 95.1229 and 94.1765

d. 97.5310 and 98.5112

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