西南财经大学 期权期货及其他衍生品13章节.pptVIP

Merton’s model Merton’s model regards the equity as an option on the assets of the firm. In a simple situation the equation value is where is the value of the firm and is the debt repayment required. Equity vs. Assets An option pricing model enables the value of the firm’s equity today, , to be related to the value of its assets today, , and the volatility of its assets, The risk-neutral probability that the company will default on the debt is . Volatilities ? Example A company’s equity is $3 million and the volatility of the equity is 80% The ris