題組內容

4.Colosseum Corp. has a zero coupon bond that matures in five year with a face value of $65,000. The current value of the company's assets is $62,000, and the standard deviation of its return on assets is 34 percent per year. The risk-free rate is 7 percent per year, compounded continuously. 61adca6c39ab1.jpg

(2) What is the value of a put option on the firm's assets with a strike price equal to the face value of the debt? N(d1)=0.78 N(d2)=0.51(3 分)