In the Vasieck (1977) Model, You Are Given That $d r _ { t } = \kappa \left( \theta - r _ { t } \right) d t + \sigma d W _ { t }$

Multiple Choice

In the Vasieck (1977) model, you are given that $d r _ { t } = \kappa \left( \theta - r _ { t } \right) d t + \sigma d W _ { t }$ where $k = 0.5$ , $\theta = 0.06$ , $\sigma = 0.10$ , and the current short rate of interest is $r _ { 0 } = 0.08$ . What is the expected standard deviation of the short rate of interest one year hence?

A) 0.08
B) 0.09
C) 0.10
D) 0.11