Suppose That in a Binomial Model,the Stock Moves Up by a Factor

Multiple Choice

Suppose that in a binomial model,the stock moves up by a factor $u = e ^{ ? \sqrt { h }}$ and down by a factor $d = e ^ { - \sigma - \sqrt { h } }$ ,where $h$ is time in years.Letting $h =$ one month and $u = 1.05$ ,what is the annualized volatility $\sigma$ of the stock?

A) 6.93%
B) 10.39%
C) 13.86%
D) 16.90%