Problem:
FedEx is selling for $100 a share. A FedEx call option with one month until expiration and an exercise price of $105 sells for $2 while a put with the same strike and expiration sells for $6.94.
Required:
Question 1: What is the market price of a zero-coupon bond with face value $105 and 1 month maturity?
Question 2: What is the risk-free interest rate expressed as an effective annual yield?
Note: Please explain in detail.