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※ 編輯: aiaorry 來自: 220.228.251.160 (04/07 14:10)
兩個問題請教大家。
1.
Consider a 6-month European put stock option with N(d1)=0.8236 (Black-Scholes
Model). The stock pays no dividend and is currently priced at $40 per share.
What is the delta of this 6-month put option?
2.
Happy Corporation(HC) is an all-equity firm with a market value of $10 million.
This company is considering a purchase of new equipment.
This new project has the same rick as the overall firm.
Suppose the firm has narrowed its choices to the following two types of
machines :
Model 1 Model 2
Expected revenues (per year) $0.9M $0.7M
Expected operating costs (per year) $0.1M $0.15M
(Excluding depreciation expenses)
Economic life 4years 4years
Price of the equipment $2M $1.2M
The machines will be depreciated to zero by a straight-line method.
In addition, the risk-free rate is 2%, the expected return of market portfolio
is 8% and its variance is 4%. HC's covariance with market return is 6%.
The firm's corporate tax rate is 30%.
(1)Which of the two machines should HC purchase?
(2)Suppose HC decides to issue new equity in order to finance the purchase.
What will the market valur of HC be after the purchase is made?
(3)Suppose HC decides to issue debt in order to finance the purchase.
According to Modigliani-Miller propositon, what will the market value of
HC be after the purchase is made?
(4)According to Modigliani-Miller proposition, what is HC's cost of equity
capital if HC issues debt to finace the purchase (assume the interest rate
is 5%)
謝謝
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