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