From your reading, recall that in structural model, company equity is similar to a call option on the company's assets with a strlke price equal to the payoff value of the debt.

Assume that you know the following about a company:

$\backslash$table$[[\backslash$table$[[$Current asset value$],[($millions$)]],914],[\backslash$table$[[$Expected return on$],[$assets$]],3\mathrm{.}7],[$Risk free rate,$1\mathrm{.}7],[\backslash$table$[[$Face value of debt$],[($millions$)]],526],[\backslash$table$[[$Time to debt$],[$maturity$]],2],[\backslash$table$[[$Asset return$],[$volatility $($stdev$)]],0\mathrm{.}35]]$

Using the option pricing model, what is the probability of default over the debt's time to maturity? Enter answer in percents.correct answer is

$15\mathrm{.}43$ margin of error $\frac{+}{-}1\%$