Each of the following two bonds has the face value of $1,000, the coupon rate of 10% per annum, the payments of coupons semi-annual and the remaining term-to-maturity of 10 years. But, these two bonds differ as follows:

First bond: Convertible and non-callable, with its annual yield-to-maturity, denoted by k, of 9%.

Second bond: Non-convertible and non-callable, with its k = 9.5%.

Find the value of the conversion option. Secondly, keeping everything else the same, assume that the second bond is non-convertible but it is callable and the value of the call option to the issue is $40 per bond. Find the price of the second bond with the call option.