In the Ho & Lee (1986)model,assume That the Initial Curve $0.9434$

Multiple Choice

In the Ho & Lee (1986) model,assume that the initial curve of zero-coupon discount bond prices for one and two years is $0.9434$ and $0.8734$ ,respectively.Assume that the probability of an upshift in discount functions is equal to that of a downshift.If the parameter $\delta = 0.95$ ,then the price of a one-year zero-coupon bond in the up node after one year will be

A) 0.9282
B) 0.9496
C) 0.9563
D) 0.9678