Suppose an investor expects that the 1-year rate will remain at 4% for the first year for a 2-year zero-coupon bond. The investor also projects a 50% probability that the 1-year spot rate will be 6% in one year and a 50% probability that the 1-year spot rate will be 2% in one year. Which of the following inequalities most accurately reflects the convexity effect for this 2-year bond using Jensen's inequality formula?
A$0.96189 > $0.96154
B$0.96154 > $0.96000
C$0.92490 > $0.92456
DD.$0.92490 > $0.92478
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