莫顿模型公式问题

问题如下：

A portfolio manager at a hedge fund is applying the Merton model to estimate the volatility of a non-dividend paying firm whose equity shares are held in the fund’s portfolio. The manager conducts preliminary analysis on the firm and obtains the following results:

• Value of equity: USD 45 million
• Value of the firm’s only debt maturing in 5 years: USD 60 million
• d1: 3.217790
• d2: 3.038905

Assuming a constant volatility of firm value, what is the estimate of that volatility?

选项：

A.

6%

B.

8%

C.

16%

D.

18%

解释：