Crude oil is currently trading at $50 per barrel. You are attempting to value a $55 call option expiring in two years on 1000 barrels of oil using the binomial model shown below. The model is also available in an Excel file below.

Determine:

(a) What values of "u" and "d" have been used in this model?

(b) If the risk-free rate is 1% per annum EAR, what would be the probability of an up move?

(c) Suppose instead the probability of an up move is 45% and the risk-free rate is still 1% per annum EAR. What would be the value of the option described above?