Hedge Fund Fees and Option Pricing Theory Exercise 2 (Homework) You are a risk manager and you have to value a HF manager's incentive fee. You model the incentive fee as a manager's call option, which is "at-the-money". The hedge fund volume is $250,000,000. The incentive fee is at 22%. The quarterly(!) volatility is 15%. . Calculate the value of a one-year incentive fee call option