Option pricing is an important subject in the field of financial investment. Suppose the current price of a stock is $100 per share. Research shows that the spot price will move either up by 8% or down by 4% each period. Use the Binomial Option Pricing model to determine the price of a call option with a strike price of $110 and an expiration date of THREE periods. The risk-free rate is 3% and no dividend will be paid within the three periods.

Before building the price tree, the call premium tree, and the delta value tree, fill in the values of the following variables:

a) current market price of the stock, S₀ = $ __ /share (e.g., $25.47/share)

b) up factor, u = __ (e.g., 0.85)

c) down factor, d = __ (e.g., 0.85)

d) strike price, K = $ __ /share (e.g., $25.47/share)

risk-free rate, r_f = __ % (e.g., 5.10%)