This rare mint error is not listed anywhere in a price guide. You could try contacting a couple error coin dealers to see what they would offer : http://mikebyers.com http://www.surok.addr.com/index.html http://errorcointrader.com http://alscoins.com http://bobastrich.com Or you could put it on eBay and see what it gets.
Try checking the ANA Dealer Directory here : http://www.money.org/ana_custom/dealer_search/
1940S Wheat Penny: very good condition-$ .05, mint condition-$1.50, uncirculated-$5.00 .15-6.00
Average value is 25 cents for a coin in average circulated condition.