The volatility of a stock is 0.3 per annum. In a Cox-Ross-Rubinstein binomial tree in which one step represents a time interval of 3 months, what are the proportional up-movement and down-movement factors, u and d, respectively?

a. u=1.16, d=0.86

b. u=1.30, d=0.70

c. u=1.24, d=0.81

d. u=1.35, d=0.74