Consider a bond selling at par with modified duration of 12 years and convexity of 260. A 2% decrease in yield would cause the price to increase by 24% according to the duration rule. What would be the percentage price change according to the duration-with-convexity rule?

Select one:

A.

22.2%

B.

25.4%

C.

29.2%

D.

52.3%

E.

None of the options are correct.