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Below is a two-period price tree of ABC Stock. A European call option on this stock has a strike price of $75 and the risk-free

Below is a two-period price tree of ABC Stock. A European call option on this stock has a strike price of $75 and the risk-free rate is 5% per sub-period. Given that the value of u is 1.22, calculate d and the probability of prices increasing. What is the value of the option at year 0 ? (worth 20 points) Value=(1+r)(p)(A)+(1p)(B)p=udRd

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