Denote the forward rates in the HJM model by f (t, T), where t is current time, and the forward rate is for the future period [T, T + h], where h = 1 year is the discrete time interval. Suppose you are given the following binomial evolution of forward rates:

Finally, suppose you are also provided the following data: 

If the price of a one-year call option on a two-year zero-coupon bond at a strike of $90 is $4, then what is the value of the parameter σ?  

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f(t+h, T) = f(t, T) + a(T)h oh