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A company can expand an ongoing project in 2 years by investing $43 million and will...

A company can expand an ongoing project in 2 years by investing $43 million and will then earn an expected $34.4 million (in present value terms). The annual standard deviation of the follow-on project's returns is 50%.

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

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

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