Hedge fund X has the following characteristics. It currently manages a portfolio worth of $500 mil. The fund has a typical “two and twenty” fee structure. According to the Black-Scholes formula, the value of the incentive scheme is $53.93, i.e., c = $53.93. What is the expected fund’s total fee (in %) for the next year?

a. 10.79%

b. 12.79%

c. 2.16%

d. 4.16%