You're the CFO of a US firm trying to value a real option using the Black Scholes option pricing formula.

You're aware that option values are heavily dependent on the estimated future volatility of the underlying asset. Your real option project has a beta of 1, where the market is the S&P500. The VIX is currently 15.

What annual volatility should be used in your real option valuation? You should use a volatility of:

Select one:

a.More than 15%.

b.15%

c.Less than 15%.

d.More information is needed.