A risk manager has assigned a junior analyst the task of determining the implied default probability for a corporate bond that holds a BBB rating. For this purpose, the continuously compounded annual yields for various fixed-income securities are given as follows:

• 3-year Treasury note (treated as a risk-free bond): 2%
• 1-year bond rated BBB: 4%
• 2-year bond rated BBB: 7%
• 3-year bond rated BBB: 10%

Assume that the expected recovery rate for the 3-year BBB-rated bond in the event of a default is 0%. Based on this information, select the option that best approximates the risk-neutral probability of the BBB-rated bond defaulting within the next 3 years.