option-based method for marketability

问题如下：

Schwalke uses an option-based method for marketability. In his recent work on valuing JNK, He valued three put options with three months until expiration on a public company similar to JNK with a stock price of EUR 29.70 and a three-month risk-free rate of 4%. The put option results are:

Which amount most closely estimates the DLOM for JNK?

选项：

A.

12.4%

B.

12.6%

C.

12.5%

解释：

B is Correct. The put option approach involves an at-the-money option based on the prevailing forward price. Given the current price of EUR 29.70, the three-month forward price using a 4% risk-free rate is EUR 30 (=29.70e(0.25×0.04) ), so the put option with exercise price of EUR 30 should be used. Dividing the 3.75 option value by the EUR 29.70 stock price equals 12.6%.