A company's current value of assets is $300 million, and the volatility of the asset value is 20% per annum. The future value of assets is log-normally distributed. The company has issued a debt whose face value is $240 million, and it needs to repay the debt in one year. The risk-free interest rate is 5% per annum.

Question 1.What is the current value of the company's equity? Use the Black-Scholes-Merton model.

Group of answer choices

$63.54 million

$71.70 million

$73.77 million

$75.67 million

Question 2. What is the default probability under the risk-neutral probability?

Group of answer choices

10.3%

42.3%

57.7%

89.7%