期权,期货及其衍生品第23弹-精选课件(公开).pptVIP

* * * * * * * Volatilities Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * This equation together with the option pricing relationship enables V0 and sV to be determined from E0 and sE Example A company’s equity is $3 million and the volatility of the equity is 80% The risk-free rate is 5%, the debt is $10 million and time to debt maturity is 1 year Solving the two equations yields V0=12.40 and sv=21.23% The probability of default is N(?d2) or 12.7% Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * The Implemen