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Black Scholes Merton Option Pricing
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FIRM VALUE = Vd_1d_2
EQUITY VALUE = CALL(V,T)
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V50Current Value of Firm1000.7327867068-0.532124357359.19477151
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D80
Face Value of Outstanding Debt
900.6966122342-0.568298829851.24227331
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r3%10 year TBill Rate800.6561726145-0.608738449643.44986007
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T10Maturity of Debt700.6103259549-0.654585109235.84865859
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Sigma Squared 0.16Stock Volatility600.5573998706-0.707511193528.4809209
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500.4948015992-0.770109464921.40649964
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400.4181875069-0.846723557214.71518413
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d_10.4948015992
<- =(LOG(B4/B5)+(B6/B7+0.5*B8)*B7)/(SQRT(B8*B7))
300.319414763-0.94549630118.553143221
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d_2-0.7701094649<- =B11-SQRT(B8*B7)200.1802023993-1.0847086653.190661991
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10-0.05778270826-1.322693772-0.740219116
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N(d_1)0.6896299123<-=NORMSDIST(B11)
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N(d_2)0.220617481<-=NORMSDIST(B12)
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C(V,T) = Call Price21.40649964
<- = V*N(d_1)-exp(-r*T)*D*N(d_2)
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P(V,T) = Put Price30.67195729
<- = C(V,T) - V+D*exp(-r*T): By Put-Call Parity
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P(V,T) = Put Price30.67195729
<- = D*exp(-r*T)*N(-d_2)-V*N(-d_1)
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Default Probability0.779382519<- N(-d_2)
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