Question: A project has expected cash flows with a present value of $61.5 million. The annual standard deviation of the project's returns is 60%. If the

A project has expected cash flows with a present value of $61.5 million. The annual standard deviation of the project's returns is 60%.

If the project does not go well, the company can end it in 1 year and sell all project assets for $41 million (after taxes).

The risk-free rate is 4% (continuously compounded).

What is the value of the option to abandon (in $ million)?

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