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问道Option定价的题,跪求牛人解答!!! 江湖救急啊

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楼主
发表于 2007-11-13 09:17:00 | 只看该作者

问道Option定价的题,跪求牛人解答!!! 江湖救急啊

教授给的一道难题,哪位大哥能帮忙解决了 ~~~~~小弟感激不尽~~

A firm has assets of $100 and 5-year-to-maturity zero-coupon debt with a
face value of $150. Assume that investment projects have the same volatility as
existing assets. Also assume that the volatility of the assets is 30% and that the
riskless rate is 8%. Finally, assume that the firm makes no payouts prior to the
maturity date of the debt.

a. The firm is considering an investment project costing $1. What is the amount
by which the project’s value must exceed its cost in order for shareholders to
be willing to pay for it? Repeat for project values of $10 and $25.
b. Now suppose the firm finances the project by issuing debt that has lower
priority than existing debt. How much must a $1, $10, or $25 project be
worth if the shareholders are willing to fund it?


(Hint for Problem : The equity holders will do a project if it increases their
option value. They have a call with value now. If they do a project they give up
this call and get another call.)


[此贴子已经被作者于2007-11-13 22:33:37编辑过]
沙发
 楼主| 发表于 2007-11-13 22:51:00 | 只看该作者

是我的问题太简单了还是没人会? 各位finance的 phd帮帮忙啊 ,我就知望着这道题了

板凳
发表于 2007-11-14 14:08:00 | 只看该作者
a. Decrease Asset Price
Call price with 10025.51
11025
Call price after financing project24.89 19.61 12.02
Expected return0.62 5.90 13.49
b. Increase Exercise Price
Call price with 10025.51
11025
Call price after financing project25.27 23.20 20.16
Expected return0.24 2.31 5.35

All you need is a BS spread-sheet.

地板
 楼主| 发表于 2007-11-15 09:18:00 | 只看该作者

居然是 TONY神牛来解答。。。。。。一头汗啊 。。。。。杀鸡沿用牛刀。。。

ANYWAY,很感谢。。。

5#
发表于 2007-11-16 22:56:00 | 只看该作者
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