option-pricing(1)

option-pricing(1) - Issuer X Corp. Par value $1,000 Term 5...

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Issuer X Corp. Par value $1,000 Term 5 Call protection 5 Coupon 5% Payment freq 2 Issue price 100% Stock price at issue $50.00 Conversion price $62.50 Conversion premium at issue 25.00% Conversion ratio 16 Credit Rating BBB Risk-free 5 year rate 5% Credit spread 3% Existing shares 20,000,000 Shares created by convertible 2,000,000 Dilution created 10.00% Dividend 0% Stock price volatility 40% Unadjusted warrant value: #MACRO? Adjusted warrant value: #MACRO? Convertible value: #MACRO? Parity Value: $800.00 Investment Value: $878.34 Time Payment PV 0.5 $25 $24.04 1.0 $25 $23.11 1.5 $25 $22.22 2.0 $25 $21.37 2.5 $25 $20.55 3.0 $25 $19.76 3.5 $25 $19.00 4.0 $25 $18.27 4.5 $25 $17.56 5.0 $1,025 $692.45 Bond Value $878.34 Exercise Price $54.90 20 25 3 0 200 400 600 800 1000 1200 1400 1600 1800 2000 Conv e
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Stock Price Convertible Parity Invest. Value 20 917.79 320 878.34 25 946.35 400 878.34 30 981.33 480 878.34 35 1021.73 560 878.34 40 1066.65 640 878.34 45 1115.37 720 878.34 50 1167.28 800 878.34 55 1221.86 880 878.34 60 1278.71 960 878.34 65 1337.48 1040 878.34 70 1397.9 1120 878.34 75 1459.74 1200 878.34 80 1522.78 1280 878.34 85 1586.88 1360 878.34 90 1651.89 1440 878.34 95 1717.7 1520 878.34 100 1784.21 1600 878.34 20 25 30 35 40 45 50 55 60 65 70 75 80 85 90 95 100 0 200 400 600 800 1000 1200 1400 1600 1800 2000 Convertible Value, Parity and Investment Value Convertible Parity Invest. Value Stock Price
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CREE Page 3 Stirke Price: 70% Rate: 25 25 60% 31 0.5 4% 21.00 #MACRO? #MACRO? -4.00 #MACRO? #MACRO? #MACRO? ### -16% 21.50 #MACRO? #MACRO? -3.50 #MACRO? #MACRO? #MACRO? ### -14% 22.00 #MACRO? #MACRO? -3.00 #MACRO? #MACRO? #MACRO? ### -12% 22.50 #MACRO? #MACRO? -2.50 #MACRO? #MACRO? #MACRO? ### -10% 23.00 #MACRO? #MACRO? -2.00 #MACRO? #MACRO? #MACRO? ### -8% 23.50 #MACRO? #MACRO? -1.50 #MACRO? #MACRO? #MACRO? ### -6% 24.00 #MACRO? #MACRO? -1.00 #MACRO? #MACRO? #MACRO? ### -4% 24.50 #MACRO? #MACRO? -0.50 #MACRO? #MACRO? #MACRO? ### -2% 25.00 #MACRO? #MACRO? 0.00 #MACRO? #MACRO? #MACRO? ### 0% 25.50 #MACRO? #MACRO? 0.50 #MACRO? #MACRO? #MACRO? ### 2% 26.00 #MACRO? #MACRO? 1.00 #MACRO? #MACRO? #MACRO? ### 4% 26.50 #MACRO? #MACRO? 1.50 #MACRO? #MACRO? #MACRO? ### 6% 27.00 #MACRO? #MACRO? 2.00 #MACRO? #MACRO? #MACRO? ### 8% 27.50 #MACRO? #MACRO? 2.50 #MACRO? #MACRO? #MACRO? ### 10% 28.00 #MACRO? #MACRO? 3.00 #MACRO? #MACRO? #MACRO? ### 12% 28.50 #MACRO? #MACRO? 3.50 #MACRO? #MACRO? #MACRO? ### 14% 29.00 #MACRO? #MACRO? 4.00 #MACRO? #MACRO? #MACRO? ### 16% Initial Stock Price Volatility Call: Time to Expiration: Price Increment: Volatility Puts: Stock Price BS-Call Quoted Premium BS-Put Quoted Premium Stock Profit Delta of Mimicki ng Mimickin g Value Mimicking Profit ROR Mimick ROR Stock
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CREE Page 4 Rf 2.15% ### -33.90 Vol 25.00% ### -33.40 T 0.33 ### -32.90 E 125 ### -32.40 S 125.0000 ### -31.90 ### -31.40 ### -30.90 ### -30.40 -29.90 ### -29.40 ### -28.90 ### -28.40 ### -27.90 ### -27.40 ### -26.90 ### -26.40 ### -25.90 Levera ge Payoff if Exercised
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Strategy01 Page 5 Max(0,S-E) Delta Gamma
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This note was uploaded on 02/09/2010 for the course FIN 459 taught by Professor Yildary during the Spring '07 term at Syracuse.

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option-pricing(1) - Issuer X Corp. Par value $1,000 Term 5...

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