Question
How would you find the volatility of equity with the following information using black scholes model Face Value100 Maturity (years)5 Credit RatingA Credit Spread3% Asset
How would you find the volatility of equity with the following information using black scholes model
Face Value100
Maturity (years)5
Credit RatingA
Credit Spread3%
Asset Volatility 36%
Total Asset Value ($M)100
Total Debt Value ($M)60
Market Value Equity ($M)40
Sales (t=0) ($M)100
EBIT ($M)20
Retained Earnings ($M)15
Working Capital ($M)40
Risk Free Rate 2%
YTM 5%
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Foundations of Financial Management
Authors: Stanley Block, Geoffrey Hirt, Bartley Danielsen, Doug Short, Michael Perretta
10th Canadian edition
1259261018, 1259261015, 978-1259024979
