Suppose that Stock XYZ is currently trading at $100 and does not pay any dividends. Using a binomial tree with two periods, we would like to price an at-the-money European call option with a maturity of two months. Assume that annual continuously compounded interest rate is 5% and the volatility of the stock is 30% per year.

What is the value of u?

Group of answer choices

1.0905

1.0321

1.0115

1.8821