Company NothingOrAll (NOA) is known to be undertaking a new project. If the project is successful the value of the firm's debt and equity in a year will be $52 million, if it is unsuccessful the firm's value will be $28 million. NOA has a zero bond issue outstanding, which is due in one year with face value $40 million. The risk-free interest rate is 5%. NOA's current value of debt and equity is $40 million.

Question 3.3 Assume that NOA finally decides to undertake an even more risky project. NOA has a zero bond issue outstanding with face value $40 million, which is due in one year. The risk-free interest rate is 5%. NOA's current value of debt and equity surprisingly remains at $40 million after the announcement. The risky project implies a volatility of 0.6. What is the value of equity as a call option computed with the Black Scholes model?