有一題原文題，或許不是很難，但是看老半天就不是太知道怎麼解？
會的人，可不可以教教我！拜託>"<
Peter had been very successful in share investments in recent years.
He had made a huge profit from Telstra 1 offer, where the share price rose
quickly in value from the $3.3 originally paid. Thus he was confident in
Telstra shares and bought 1000 installment receipts ("T2s") in the public
offer in 1999. But this time,Peter was a bit disappoiinted in the performance
of T2s as Telstra suffered a share plunge, whith markets questioning key
management decisions. The T2s were offered at $7.4 per share, with $4.5
up-front payment in 1999 and the balance due on 2 Nov. 2000. On 2 Nov. 2000
Telstra shares were trading at only $6.38 and T2 investors ended up in a loss.
At that time, a number of financial institutions in Australia offered
warrants to T2 investors so that they could postpone their $2.9 payments.
Onc such product was that of UBS, Which offered investors to pay $3.45 a
share in one yrs time(i.e. 2 Nov. 2001). Investors would be free to decline
to make such payment, and would then receive nothing.
One week before the payment due, peter was wondering if he whould take the
UBS offer. He had done some makret investigation:the Telstra share price
appeared to have a volatility of 30%p.a and the risk free interest rate
was 6.5% p.a. at that time.
Ignoring dividends and transaction cost, what should Peter do ? Be specific
with your answer.
Telstra shares were actually trading at $4.87 per share on 2 Nov. 2001. With
the benefit of hindsight, should he take the offer? What would be your answer
if the share price were actually $9.88 on 2 Nov. 2001?
我是覺得好像是要用Black-Scholes Model回答，可是我不太知道到底stock price和
exercise price要用哪一個年份的>"<
因為他在1999就先付一筆$4.5之後還要補$2.9在2000年
可是UBS又提供了像選擇權的產品，所以.....
到底要怎麼算才是正確的哩？
有沒有善心人可以告訴我呀？
謝謝>"<
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