Assume the Risk-Free Interest Rate Is 10% and Is Equal

question 38

Multiple Choice

Assume the risk-free interest rate is 10% and is equal to fund's benchmark, the portfolio net asset value is $100, and the fund's standard deviation is 20%. Also assume time horizon of 1 year.
-What is the Black-Scholes value of the call option on management incentive fee?

• A) $6.67
• B) $8.20
• C) $9.74
• D) $10.22

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