Use the 300-day zero rate and the 300-day Eurodollar futures quote to infer the discount factor at 393 days, then solve for the 393-day continuous-compounding zero rate.

1) Convert the futures quote to an implied 3-month rate

A quote of 94.500 implies a rate of:

$$R = 100 - 94.500 = 5.5\%$$

2) Compute the 300-day discount factor

With continuous compounding:

$$D_{300} = e^{-0.03\times(300/365)}$$

3) Extend to 393 days

The 300-day futures quote implies the forward rate for the next period. Using ACT/360 quarterly compounding, the growth factor over the period is approximately:

$$1 + 0.055\times\frac{93}{360}$$

So:

$$D_{393} = \frac{D_{300}}{1 + 0.055\times(93/360)}$$

4) Solve for the 393-day zero rate

after calculating $D_{393}$, the continuous-compounding zero rate is:

$$r_{393} = -\frac{\ln(D_{393})}{393/365}$$

This gives approximately 3.601%.

Therefore, the nearest answer is A.