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.
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.
请问老师这道题是不是有点问题，莫顿模型里假设债券是零息债券，put option执行价等于debt的面值，但是这道题有了coupon put option的执行价还是只等于面值，不是就和模型不符了吗？
x
