Assume annual compounding.The one-year and two-year zero-coupon rates in the BDT model are 6% and 7%.The volatility is given to be $\sigma = 0.30$ .What are the one-year rates (up and down)after one year?
A)9.2% and 6.1%
B)9.6% and 5.8%
C)10.0% and 4.0%
D)10.4% and 5.7%

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The Answer of Assume annual compounding.The one-year and two-year zero-coupon rates in the BDT model are 6% and 7%.The volatility is given to be $\sigma = 0.30$ .What are the one-year rates (up and down)after one year?
A)9.2% and 6.1%
B)9.6% and 5.8%
C)10.0% and 4.0%
D)10.4% and 5.7%

Assume Annual Compounding σ=0.30\sigma = 0.30σ=0.30 What Are the One-Year Rates (Up and Down)after One Year

Assume Annual Compounding $\sigma = 0.30$ What Are the One-Year Rates (Up and Down)after One Year