A one-year European call option is currently valued at 0.9645. The following parameters are given.

• Current stock price = 10

• Continuously compounded risk-free rate = 6%

• Continuously compounded dividend rate = 1%

• Strike price = 10

Using a single period binomial tree, calculate the implied volatility of the stock, assuming that it is greater than 5%.

(A) Less than 0.10

(B) At least 0.10, but less than 0.20

(C) At least 0.20, but less than 0.30

(D) At least 0.30, but less than 0.40

(E) At least 0.40