Consider a stock with a volatility sigma=0.15.
The current price of the stock is $61. The stock pays no dividends. 
The interest rate is 10% compunded monthly.
Compute the value of the call option with strike price $60 expiring 
in two months. Use binomial model with Delta t=1/12 (monthly period).

Definition. Volatility of a stock is the sigma which appears in the 
formula S=S_0 exp(vt+sigma z(t)),
where z(t) is the Brownian motion and t=1 denotes 1year.