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

Multiple Choice

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%