If the risk-free interest rate is rf and equals the fund's benchmark,the portfolio net asset value is S0,and a hedge fund manager incentive fee is 20% of profit beyond that,the incentive fee is equivalent to receiving ______ call(s) with exercise price ________.
A) 0.2; S0
B) 1; S0(1 + rf)
C) 1.2; S0
D) 0.2; S0(1 + rf)
Correct Answer:
Verified
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