FedEx is selling for $105 a share. A FedEx call option with one month until expiration and an exercise price of $116 sells for $2.10 while a put with the same strike and expiration sells for $12.22.
a. What is the market price of a zero-coupon bond with face value $116 and 1 month maturity? (Round your answer to 2 decimal places. Omit the "$" 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 $ %