For the two-period (each period is 6 months) binomial option pricing model, so =75, and the standard deviation is 5.56%. The risk-free interest rate is 3%. Calculate the probability (p) and the stock price moving up in one-time step?

a) 0.7777

b) 0.5555

c) 0.6666

d) 0.8750

For the previous question, what is the value of a call option with strike price $75, and time-to-maturity = 1/2 year.

a) $2.55

b) $1.89

c) $2.83

d) none of the above