What can I do if my grandmother thinks her family is plotting against her?

My grandmother lives in my mother's home. We brought her and my grandfather here from overseas about 2 years ago because of her declining mental state. She suffers from depression and anxiety. Before she came to live with us she was insistent that "people" were watching her when she left the house and even went as far as bugging her home with listening devices to spy on her. These delusions did not stop when she came to live with us. She insists that someone is always watching with the intent of kidnapping her (but oddly this does not prevent her from sitting outside when she is home alone.)

Now she has become insistent that family members are watching her or plotting to take her somewhere as well, often asking aloud where we are planning to take her? I am not sure what to do anymore as this delusion does not seem to be going away even with constant reassurance and logical explanation. We have had her tested for dementia, which she was not diagnosed with. She is currently on antidepressants and anti psychotics (did do not seem to be working for this specific issue). Any advice is welcomed.