You would like to know the unlevered beta of Schwartz Industries (SI). SI’s value of outstanding equity is $400 million, and you have estimated its beta to be 1.2. SI has four-year zero-coupon debt outstanding with a face value of $100 million that currently trades for $75 million. SI pays no dividends and reinvests all of its earnings. The four-year risk-free rate of interest is currently 5.13%. Use the Black-Scholes formula to estimate the unlevered beta of the firm.