题目
A security will produce only two cash flows: $100 at the end of the first year, and $100 at the end of the second year. The risk-free rate is 3.0% and the Market's expected return is 8.0%. The security's volatility is 24.0% and the Market's volatility is 15.0%; the correlation (rho) between the security and the Market is 0.70. Under the capital asset pricing model (CAPM) with annual discounting, what is the present value of the security?
选项
A.$169.01
B.$176.87
C.$185.95
D.$191.35
答案
B
解析
「huixue_img/importSubject/1564170578850615296.png」先求beta系数，再算出CAPM模型下的收益率，最后按照此收益率进行贴现：