FedEx is selling for $100 a share. A FedEx call option with one month until expiration and an exercise price of $111 sells for $2.40 while a put with the same strike and expiration sells for $12.18.
a. What is the market price of a zero-coupon bond with face value $111 and 1 month maturity? (Round your answer to 2 decimal places. Omit the "$" 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 $ %