Return to the valuation of the Bermudan-style three-year 4.25% annual coupon bond putable at par one year and two years from now, as depicted in Exhibit 13. The one-year, two-year, and three-year par yields are 2.500%, 3.000%, and 3.500%, respectively, and the interest rate volatility is 10%.

Assume that nothing changes relative to the initial setting except that the interest rate volatility is now 20% instead of 10%. The new value of the putable bond is:

A. Less than 102.522.

B. Equal to 102.522.

C. More than 102.522.