A bond has a Modified duration of $6\mathrm{.}3$ years and a

convexity of $103\mathrm{.}1.$ Interest rates are currently

constant at $9\mathrm{.}3\%.$ There is a $35\%$ chance of interest

rates increasing to $13\mathrm{.}1\%,$ a $54\%$ chance of interest

rates staying constant, and a $11\%$ chance of

interest rates decreasing to $7\mathrm{.}9\%.$ Under this

scenario, which answer below is the closest to the

standard deviation of bond returns?

a$.0\mathrm{.}0575$

b$.0\mathrm{.}0482$

c$.0\mathrm{.}0796$

d$.0\mathrm{.}0940$

e$.0\mathrm{.}0649$

f$.,0\mathrm{.}1017$

g$.0\mathrm{.}0718$

h$.0\mathrm{.}0916$