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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Definitions:

REM Sleep

A unique phase of sleep in mammals and birds, characterized by random rapid movement of the eyes, low muscle tone throughout the body, and the propensity of the sleeper to dream vividly.

Dream Content

The themes, ideas, images, and emotions that constitute a dream, reflecting a person's subconscious mind and potentially providing insights into their psychological state.

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Individuals enrolled in educational institutions in the United States.

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Learners originating from Japan, known for their participation in a highly competitive and rigorous educational system.