Suppose That in a Binomial Model, the Stock Moves Up $\mathcal { U } = e ^ { \Sigma \sqrt { h } }$

Multiple Choice

Suppose that in a binomial model, the stock moves up by a factor $\mathcal { U } = e ^ { \Sigma \sqrt { h } }$ and down by a factor $d = e ^ { - \sigma - \sqrt { h } }$ , where $h _ { c }$ 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%