Valorisation des options - modèle excel

OPTION WORKSHEET: WARRANTS
Valuing Management Options or Warrants when there is dilution
This program is designed to value options, the exercise of which can create more shares and thus affect the stock price. This is the case
with warrants and management options. It is also the case with convertible bonds. As a general rule, using an unadjusted
option pricing model to value these options will overstate their value.
Note: Before you run this program, check under preferences (under tools), and calculations, and ensure that there is a check against the iteration
box. You will get a circular reasoning warning, but this program needs circular reasoning to compute the option value.
Enter the current stock price =
32,5
Enter the strike price on the option =
39,49
Enter the expiration of the option =
7,5
Enter the standard deviation in stock prices =
50,00% (volatility)
Enter the annualized dividend yield on stock =
3,00%
Enter the treasury bond rate =
7,75%
Enter the number of warrants (options) outstanding =
2532000
Enter the number of shares outstanding =
47350000
VALUING WARRANTS WHEN THERE IS DILUTION
Stock Price=
32,5 # Warrants issued=
2532000
Strike Price=
39,49 # Shares outstanding=
47 350 000
Adjusted S =
Err:522 T.Bond rate=
7,75%
Adjusted K=
39,49 Variance=
0,2500
Expiration (in years) =
7,5 Annualized dividend yield=
3,00%
Div. Adj. interest rate=
4,75%
d1 =
Err:522
N (d1) =
Err:522
d2 =
Err:522
N (d2) =
Err:522

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OPTION WORKSHEET: WARRANTS
Value of the call =
Err:522

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OPTION WORKSHEET: WARRANTS
Valuing Management Options or Warrants when there is dilution
Note: Before you run this program, check under preferences (under tools), and calculations, and ensure that there is a check against the iteration

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OPTION WORKSHEET: WARRANTS

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