The current high water mark is $66 and net asset value of a hedge fund is $62. If the Black-Scholes value of a call option is $11.50 and the incentive fee is 20%, then what happen with the value of the incentive fee if the high watermark increases to $68? [assume that other parameters are constant so the only change is the high water mark.]

Select one:

a.it does not change

b.decreases

c.increases