A 15 year bond is trading at par.

The change in the price of the bond will be equal to $100* (-11*0.1% + 0.5* 80 *(0.1%)^2) = -1.096. Therefore the new price will be $100 - 1.096 = $98.904. Thus Choice 'd' is the correct answer, the rest are incorrect.

Note that the change in the price of a bond if you are given modified duration is convexity is given by the formula P * (-Duration*δi + 0.5*Convexity*(δi)^2); where δi is the change in interest rates. 10 basis points equal 0.1%, or 0.001.