A stock price is currently S=100. Over the next year it is expected to go up by 25% (u=1.25) or down by 20% (d=0.8). the risk-free rate is r=10% per annum with continuous compounding. What is the value of a 12-month European call option with a strike price K=100?

• 20.34
• 5.34
• 10.34
• 25.34
• 15.34