Assuming Annual Compounding, the Prices of a One-Year 4% Coupon

Multiple Choice

Assuming annual compounding, the prices of a one-year 4% coupon bond and a two-year 5% coupon bond are $101 and $99, respectively. Assume coupons are paid annually. The fair price of a two-year 6% coupon bond will be

A) $99.86
B) $100.11
C) $100.57
D) $100.87