Let St , where t = 0, 1, 2, . . . , T, denote the time-t price of a tradeable non-dividend-paying asset. Let S0 = 100 and let each random increment St+1 St take value +1 with physical probability 40%, and value 1 with physical probability 60%, independently of all other increments. There exists a bond, with constant price 1 at all times. There exists a call on S, with strike K = 105 and expiry at time T = 12. Find the time-0 price of the call option.