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