Trumbull, Inc

Multiple Choice

Trumbull, Inc., has total value (debt plus equity) of $500 million and $200 million face value of 1-year zero coupon debt. The volatility of Trumbull's total value is 0.60, and the risk-free rate is 5%. Assume that N(d1) = 0.9720 and N(d2) = 0.9050.
-What is the yield on Trumbull's debt?

A) 6.04%
B) 6.36%
C) 6.70%
D) 7.05%
E) 7.42%