Resilience Corp.s stock price is currently $40. Over each of the next two three-month periods it is expected to go up by 4% or down by 4%. The risk-free interest rate is 1% per annum with continuous compounding. (a) What is the value of a six-month European call option with a strike price of $41? (b) What are the values of delta () of the European call option? What are the effects on call price of a $1 increase in stock price? (20 points)