Consider the following statements:

I. Ceteris paribus, Convexity increases with Bond maturity

II. Ceteris paribus, Coupon bonds of the same maturity have less convexity than do deep-discount bond

III. Ceteris paribus, same duration deep-discount bonds are more convex than coupon bonds

Which of the above statements is true?

a.

Statement I and Statement II

b.

Statement III

c.

Statement I, Statement II, and Statement III

d.

Statement I

e.

Statement II