NO.PZ2020033003000104
问题如下:
Adam is asked to estimate the value of firm A’s equity under the Merton framework.
1)The value of firm A's asset is180.
2)Risk-free rate of 5%.
3)The firm issues one-year zero interest bonds with a face value of 100.
4)The value of a European put option on the firm's asset is 3.50 and the strike price is 100.
选项:
A.$95.12.
B.$91.62.
C.$92.12
D.$88.38.
解释:
D is correct.
考点:Merton Model
解析:无风险债券的现值=100*e^(-0.05)=95.12
公司债券的价值=95.12-3.50=91.62
公司的股权价值=180-91.62=88.38
公司债券的价值=95.12-3.50=91.62