You would like to know the beta of debt for cooper Industries. The value of coopers outstanding equity is $40 million, a

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You Would Like To Know The Beta Of Debt For Cooper Industries The Value Of Coopers Outstanding Equity Is 40 Million A 1 (350.6 KiB) Viewed 33 times

You would like to know the beta of debt for cooper Industries. The value of coopers outstanding equity is $40 million, and you have estimated its beta to be 1.2. However, you cannot find enough market data to estimate the beta of its debt, so you decide to use the Black-Scholes formula to find an approximate value for the debt beta. cooper has four-year zero-coupon debt outstanding with a face value of $100 million that currently trades for $75 million. Cooper pays no dividends and reinvests all of its earnings. The four-year risk-free rate of interest is currently 5.13% and Implied Volatility is 25%. Find i)delta Of call Option ii) Unlevered Beta And Finally iii) beta of Cooper's debt