A company issues an option grant with an out-performance feature, against the S&P 500. Assume S&P 500 = 1100, S = 46. k = 45, o = 0.30. r = 0.04, and 10 yers until expiration. The S & P 500 has a dividend yield of 2.5%, standard deviation of 20.0% and a 0.45 correlation coefficient with the stock. What is the value of the out-performance option?