abandon - 10 (in years) (< or = project life)...

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OPTION WORKSHEET: LONG TERM OPTIONS VALUING AN OPTION TO ABANDON A PROJECT This program calculates the value of an abandonment option. Inputs relating the underlying asset Enter the present value of cash flows from continuing project = $254.00 (in currency) Entet the annualized standard deviation in ln(present value of CF) 30.00% (in %) Enter the remaining life of the project = 25 (in years) Enter the value received on abandonment = $150.00 (in currency) (Net out any abandonment costs) Enter the number of years that you have rights to abandon project
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Unformatted text preview: 10 (in years) (< or = project life) General Inputs Enter the riskless rate that corresponds to the option lifetime = 7.00% (in %) VALUING A LONG TERM OPTION/WARRANT Stock Price= $254.00 T.Bond rate= 7.00% Strike Price= $150.00 Variance= 0.09 Expiration (in years) = 10 Annualized dividend yield= 4.00% d1 = 1.3457588803 N(d1) = 0.9108098547 d2 = 0.3970755822 N(d2) = 0.6543441373 Value of Option to Abandon = $10.56...
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