Let S(t) be the time-t price of a stock. You are given: i) S(0) = 100 ii) The risk-neutral stock price process is dS(t) = 0.05S(t) dt + S(t) dZ(t) where Z is a standard Brownian motion in the risk-neutral measure and ? is a constant. iii) Under the true probability measure, the standard deviation of ln S(4) is 0.5. iv) The continuously compounded risk-free interest rate is 0.06. A European option that matures at time 2 has the following payoff structure:

Stock Price	Payoff
S(2)	0
90	S(2) - 90
100	110 - S(2)
S(2) >= 110	0

Calculate the price of this option.

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