Which of the following statements is TRIUE?

In the Merton model of credit risk:

a.

Equity is economically equivalent to a short call option held on the firm's assets.

b.

The risk-neutral probability of default is given by N(d2).

c.

By Ito's Lemma, the volatility of the firm's asset returns is the same as the volatility on its stock returns.

d.

Equity is economically equivalent to a long call option held on the firm's assets.

Clear my choice