medium · Quantitative Finance
A firm's assets are worth A_0 = 150 million with an asset volatility of 25%. The firm has a zero-coupon debt of D = 100 million maturing in one year (T=1).
If the risk-free rate is r=3%, what is the 'distance to default' d_2 in the Merton model?
- 1.867
- 1.617
- 1.745
- 1.367
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