You are considering the purchase of an American call option on a non-dividend-paying stock. Assume the Black-Scholes framework. You are given: (i) The stock is currently selling for $40. (ii) The strike price of the option is $41.5. (iii) The option expires in 3 months. (iv) The stock's volatility is 30%. (v) The current call option delta is 0.5. (a) Determine the current price of the option. (b) Find the probability that the option will expire in the money. (c) Find the risk-neutral probability that the option will expire in the money