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b) John Jones, CFA, is head of the research department at the Adams group. One of the companies he is researching, the James Company, is
b) John Jones, CFA, is head of the research department at the Adams group. One of the companies he is researching, the James Company, is a UK-based manufacturing company. John values James Company's assets at 450m and estimates the standard deviation in this asset value at 30%. James Company has debt outstanding in the form of a 20-year zero coupon bond with current face value of 235m. The 20 -year Treasury note rate is 2.2%. Using the Black, Scholes and Merton model for option valuation: i) State the value of each model parameter (underlying asset, strike price, time to maturity, variance in the value of the underlying asset and risk free rate). ii) Find the value of d1,d2,N(d1) and N(d2). iii) Calculate the value of James Company's equity
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