Bond A has face value of $1000, pays an 8% annual coupon, has a yield to maturity of 10%, and matures in 20 years. Bond B has face value of $1000, pays a 5% annual coupon, has a yield to maturity of 10%, and matures in 20 years. Bond C has face value of $1000, is a zero-coupon bond, has a yield to maturity of 10%, and matures in 2 years.

Which bond is most sensitive to interest rate changes?

a. Bond A

b. Bond B

c. Bond C