The six-month zero rate is 8% per annum with semiannual compounding. The price of a one-year bond that provides a coupon of 6% per annum semiannually is 97. What is the one-year continuously compounded zero rate? O 9.02% O8.02% O 8.52% O 9.52%

The six-month zero rate is 8% per annum with semiannual compounding. The price of a one-year bond that provides a coupon of 6% per annum semiannually is 97. What is the one-year continuously compounded zero rate? O 9.02% O8.02% O 8.52% O 9.52%

EBK CFIN

6th Edition

ISBN:9781337671743

Author:BESLEY

Publisher:BESLEY

Chapter4: Time Value Of Money

Section: Chapter Questions

Problem 7PROB

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Question

The six-month zero rate is 8% per annum with semiannual compounding. The price of a one-year
bond that provides a coupon of 6% per annum semiannually is 97. What is the one-year
continuously compounded zero rate?
O 9,02 %
O8.02 %
O8.52 %
O 9.52%

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