A Zero Coupon Bond with a Maturity of One-Year Pays

Multiple Choice

A zero coupon bond with a maturity of one-year pays $1,000 if the issuing firm is not in default.If the firm is in default,the recovery rate is 35%.The risk-free interest rate for one year is 5% (in simple terms with annual compounding) and the risk-neutral probability that the firm defaults is 20%.What is todays price for this bond?

A) $781.28
B) $828.57
C) $885.71
D) $912.92