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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

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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 ? 1.0115 1.0321 1.8821 1.0905

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