GE Corporation is a non-dividend-paying stock that is currently priced at $89. An analyst has determined that the annual standard deviation of returns on GE stock is 42.7% and that the annual risk-free interest rate on a continuously compounded basis is 3.5%. All the following options on GE stock have nine months until expiration. Do not round your intermediate calculations.

(1) What is the percentage up movement?

(2) What is the percentage down movement?

(3) What is the probability of an up movement in a risk-neutral world?

(4) What is the probability of a down movement in a risk-neutral world?

(5) Calculate the value of a European call option on GE stock with a strike price of $80 using a two-step binomial model.