NO.PZ2016082405000104
问题如下：
Given the fc llowing parameters for a firm, what is the value of the firm's equity?
• Asset value of $180.
• Risk-free rate of 5%.
• $100 par value debt with a 7% coupon, maturing in one year.
• A European put option worth $1.50 on the firm's assets with a strike price equal to the face value of debt.
选项：
A. $74.00.
B. $74.52.
C. $79.20.
D. $79.72.
解释：
D The film’s equity can be calculated as Et = At - Dt. We can value Dt using the Merton model:
Dt = De-rT - (European put value with strike at D) = $107 x e-0.05*1 - $1.50 = $100.28 We can then calculate Et:
Et = At - Dt = $180 - $100.28 = $79.72.
老师，权益等于资产减去负债，为啥期权费也算进去呢？
