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= (p)(A)+(1-p)(B) (1+r) R-d p = u-d Now 2 149.18 122.14 100 100 81.87 67.03