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2182数理金融中等数值题medium

Required Asset Cushion for a Target Distance to Default 12

题目

Using the simplified distance-to-default approximation DD = ln(A/F)/(sigma*sqrt(T)) and ignoring drift adjustments, what asset-to-face-value ratio A/F is needed to achieve DD = 1.5 when sigma = 0.25 and T = 0.5?

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