The volatility of a non-dividend-paying stock whose price is $80 is 40%. The risk-free rate is 3% per annum (continuously compounded) for all maturities. Each time step is of length 3 months. Question 27 The value of a six-month European call option with a strike price of $100 given by a two-step binomial tree is closest to: Not yet answered O a. 8.9360 O b. $4.5016 Marked out of 1.00 O c. $4.1901 Flag