Question: A partial two-stage binomial tree is shown below for a European call option with a strike price of $155, spot price of $154, and volatility

A partial two-stage binomial tree is shown below for a European call option with a strike price of $155, spot price of $154, and volatility () of 20%. The risk-free rate is 1% per annum compounded continuously. What is the option price (fu), 3-months from now (t=3-months)?

Group of answer choices

fu 5

5 < fu 7.5

7.5 < fu 10.0

10.0 < fu 12.5

fu > 12.5

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