Call option price is $5.83.

consider a non-dividend-paying stock whose current price S(0) = S is $62 and the volatility of lnS is 0.20. Current risk-free interest rate is 10%(12) per annum.

After each period, there is a 40% chance for the stock price to go up, 25% chance to stay the same, and 35% chance to go down. Assume is the same as the risk-free rate.

(a) Find the up-factor u and down-factor d = 1/u