Question 24 Not yet answered Marked out of 5.00 Flag question A bond has a Modified duration of 6.3 years and a convexity of 103.1. Interest rates are currently constant at 9.3%. There is a 35% chance of interest rates increasing to 13.1%, a 54% chance of interest rates staying constant, and a 11% chance of interest rates decreasing to 7.9%. Under this scenario, which answer below is the closest to the standard deviation of bond returns? a. 0.0482 b. 0.0718 c. 0.0575 d. 0.0649 e. 0.1017 f. 0.0916 g. 0.0796 h. 0.0940