Private, Ltd., a privately held company, has an opportunity to buy several other privately held companies. One deal in particular intrigues the company but it needs more time to evaluate it. It wants an option to buy the company within the next year. How much is the option worth to Private, Inc., given that the estimated standard deviation of the firm to be acquired is 0.70, the value of each share is $40, and the estimated equivalent to an exercise price is $60? Assume the required rate of return is 10 percent.