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Thursday, November 01, 2007 4:01:53 PM
Ok guys, as I discussed in my previous post, I have priced the options value based on the information presented on this board using a Black-Scholes-Merton calculation.
I come up with a call option value of $1.42/share. See below for the calculation components, although most of you may get confused by it.
So that means the at 2/share, the investors are getting 1.92 ((2.5-2.0)+1.42) of upside. Basically a 96% sweetener. That is insane...
Here are my inputs:
S=Stock price in dollars and cents: 2.50
X=Strike price in dollars and cents: 2.40
T=Time to expiration in years: 5
R=Interest rate per annum as decimal percent: 0.05 is 5% per year
SIG=Volatility (Std Dev) in percent per annum: 0.6 is 60% per year (general market is usually .3 to .6 - I'll go aggressive on this since we know he stock to by highly volatile.)
S X T R SIG Dividend bond SIG*sqrt(T) d1 d2 Normal(d1) erf Normal(d2) Call Value Put Value Call Delta Put Delta Call Theta Put Theta Call Vega Put Vega Call Gamma Put Gamma Call Rho Put Rho Call Omega Put Omega
2.50 2.40 5.0000 0.0500 0.6000 0.0000 1.8691 1.3416 0.8876 -0.4541 0.8126 0.2691 0.3249 1.4243 0.7934 0.8126 -0.1874 -0.0023 -0.0005 0.0150 0.0150 0.0802 0.0802 0.0304 -0.0631 1.42636905 0.590439007
- SO KAL 6
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