You are given the following information about a non-dividend-paying stock:

(i) The current stock price is 100.

(ii) The stock-price process is a geometric Brownian motion.

(iii) The continuously compounded expected return on the stock is 10%.

(iv) The probability that the call will be exercised is 0.242

Consider a nine-month 125-strike European call option on the stock.

a) Calculate The stock’s volatility.

b) Justify your result