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Unformatted text preview: Enter the current value of the firm = $100.00 (in currency) Enter the percentage of that value that you want to set as th 90% Entet the annualized standard deviation in ln(firm value) 30% (in %) Inputs relating to the option General Inputs Enter the one year riskfree rate= 4.00% (in %) VALUING A LONG TERM OPTION/WARRANT Stock Price= $100.00 Annualized continuous riskfr 3.92% Strike Price= $90.00 Variance= 0.09 Expiration (in years) = 1 d1 = 0.631903588 N(d1) = 0.736275061 d2 = 0.331903588 N(d2) = 0.63001897 Value of risk hedging = 5.65% (as % of firm value) Aswath Damodaran: This is the value below which you want to insure the you never fall as a percent of the current firm value. If you enter 90%, for example, you will ensure that your firm value will never decline more than 10%....
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This note was uploaded on 12/01/2011 for the course FINANCE 350 taught by Professor Aswath during the Summer '10 term at NYU.
- Summer '10