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Question
Assume the risk-free interest rate is 10% and is equal to the fund's benchmark, the portfolio's net asset value is $100, and the fund's standard deviation is 20%. Also assume a time horizon of 1 year. What is the Black-Scholes value of the call option on the management incentive fee?A. $6.67
B. $8.18
C. $9.74
D. $10.22
Answer
This answer is hidden. It contains 108 characters.
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D.
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