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The underlying stock for a European exchange option has S = $27.15, div = 2.0%, and sigma = 0.18. The strike stock has S =

The underlying stock for a European exchange option has S = $27.15, div = 2.0%, and

sigma= 0.18. The strike stock has S = $30.00, div = 0.0%, andsigma= 0.22. The two stocks have a correlation coefficient of 0.73. If the exchange option expires in 2 years, what is the price of the call using a Black-Scholes approach? need to show work

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