A hedge fund with net asset value of $88 per share currently has a high water mark of $92. Suppose it is January 1 , the standard deviation of the fund's annual returns is 43%, and the risk-free rate is 6%. The fund has an incentive fee of 14%. a. What is the value of the annual incentive fee according to the Black-Scholes formula? (Treat the risk-free rate as a continuously compounded value to maintain consistency with the Black-Scholes formula) (Do not round intermediate calculations. Round your answer to 3 decimal places.) Answer is complete and correct. \begin{tabular}{|l|l|l|l|} \hline Annual incentive fee & 52.177 & pershare \\ \hline \end{tabular} b. What would the annual incentive fee be worth if the fund had no high water mark and it earned its incentive fee on its total return? (Do not round intermediate calculations. Round your answer to 3 decimal places.) Answer is complete and correct. \begin{tabular}{|l|l|l|} \hline Annal incentive toe & 5.4140 \\ \hline \end{tabular} c. What would the annual incentive fee be worth if the fund had no high water mark and it earned its incentive fee on its return in excess of the risk-free rate? (Do not round intermediate calculations. Round your answer to 3 decimal places.) d. Recalculate the incentive fee value for part (b) assuming that an increase in fund leverage increases volatily to 53%. (Do not round intermediate calculations. Round your answer to 3 decimal places.)