1. The current price of a non-dividend paying stock is $90. Use a two-step binomial tree to value a European call option on the stock with a strike price of $88 that expires in 6 months. Each step is 3 months, the risk free rate is 5% per annum with continuous compounding. What is the option price when u = 1.2 and d = 0.8? Assume that the option is written on 100 shares of stock.