1. A stock is trading at $262.84, given the following conditions:

Strike price is $230.00

Continuously compound rate of return is 3.7278%pa

Time to expiry of the option is 2 years

Number of steps is 2

Volatility of the stock is 24.15%

Dividend in 12 months is expected to be $12.78

Dividend in 2 years is expected to be $12.98

Determine for an American call option:

(a) Option price

(b) Delta of the option

2. A stock is trading at $288.33, given the following conditions:

Strike price is $300.00

Continuously compound rate of return is 4.2278%pa

Time to expiry of the option is 1 year

Number of steps is 2

Volatility of the stock is 26.85%

Dividend in 6 months is expected to be $22.78

Dividend in 12 months is expected to be $25.88

Determine for an American put option:

(a) Option price

(b) Delta of the option