Suppose That All Investors Expect That Interest Rates for the 4

Multiple Choice

Suppose that all investors expect that interest rates for the 4 years will be as follows: $\begin{array}{lr}& \text { Forward } \\\text { Year } & \text { Interest Rate } \\\hline 0 & \text { (today) } 6 \% \\1 & 7 \% \\2 & 9 \% \\3 & 10 \%\end{array}$ What is the price of a 3-year zero-coupon bond with a par value of $1,000?

A) $863.83
B) $816.58
C) $772.18
D) $765.55
E) None of the options are correct.