Rework Problem 24-5 using the Black-Scholes model to estimate the value of the option. The risk-free rate is 6%.

Data from problem 24-5:

Fethe's Funny Hats is considering selling trademarked curly purple-haired wigs for University of Western Ontario football games. The purchase cost for a 2-year franchise to sell the wigs is $20,000. If demand is good (40% probability), then the net cash flows will be $28,000 per year for 2 years. If demand is bad (60% probability), then the net cash flows will be $8,000 per year for 2 years. Fethe's cost of capital is 10%.