A hedge fund with net asset value of $108 per share currently has a high-water mark of $115. Suppose it is January 1, the standard deviation of the fund's annual returns is 45%, and the risk-free rate is 4%. The fund has an incentive fee of 16% of annual returns, but its current high-water mark is $115, and net asset value is $108.

Required:
a. What is the value of the annual incentive fee according to the Black-Scholes formula? (Treat the risk-free rate as a continuously compounded value to maintain consistency with the Black-Scholes formula.) Note: Do not round intermediate calculations. Round your answer to 2 decimal places.
b. What would the annual incentive fee be worth if the fund had no high-water mark and it earned its incentive fee on its total return? Note: Do not round intermediate calculations. Round your answer to 2 decimal places.
c. What would the annual incentive fee be worth if the fund had no high-water mark and it earned its incentive fee on its return in excess of the risk-free rate? Note: Do not round intermediate calculations. Round your answer to 2 decimal places.
d. Recalculate the incentive fee value for part (b) if an increase in fund leverage increases volatility to 55%.