Calculate the price of exchange option

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A stock S that pays no dividends is currently trading at $30/share. Another stock Q which pays a onetime dividend of $0.5/share in 3 months from now is currently trading at $10/share. The relevant interest rate is 10% per annum continuously compounded. Furthermore, an exchange option which exchanges 3 shares of Q for 1 share of S after 6 months is currently trading at $5. Please calculate the price of an exchange option which exchange 10 shares of S for 30 shares of Q after 6 months.

Reference no: EM132008786

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