# Calculate volatility under the binomial model for option pricing

The original question is quoted below.

The underlying stock price is now \$100, and tomorrow it will be either \$101 (with probability $p$) or \$99 (with probability$1-p$). A call option with value$c$which expire tomorrow has exercise price \$100. Find the the value of $c$ under the Black-Scholes model. Ignore interest rate.