Use the Information Below to Answer the Following Question

Multiple Choice

Use the information below to answer the following question.
Upside Down has a zero coupon bond issue outstanding with a $10,000 face value that matures in one year. The current market value of the firm's assets is $12,400 while the standard deviation of the returns on those assets is 22 percent annually. The annual risk-free rate is 4.6 percent, compounded continuously. What is the market value of the firm's debt based on the Black-Scholes model?

A) $8,415
B) $8,900
C) $9,413
D) $8,962
E) $9,311