Let S = $40, = 0.30, r = 0.08, T = 1, and = 0.

Question:

Let S = $40, σ = 0.30, r = 0.08, T = 1, and δ = 0. Also let Q = $60, σQ
= 0.50, δQ = 0.04, and ρ = 0.5. What is the price of a standard 40-strike call with S as the underlying asset? What is the price of an exchange option with S as the underlying asset and 0.667 × Q as the strike price?