The following facts have been assembled to facilitate an analysis of an option to expand a project: Risk-free rate of return 5% Time until the option expires (time until decision to expand is taken) 3 years Present value of the cash flows from the expansion Ksh 475 million Amount of money needed for the expansion Ksh.542 million Variance of the projects rate of return 42.25% Required: Estimate the Value of the expansion Option Using black-Scholes options valuation model