expand - 10 (in years) Enter the cost associated with...

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OPTION WORKSHEET: LONG TERM OPTIONS VALUING AN EXPANSION OPTION This program calculates the value of an expansion option in an investment analysis. Inputs relating the underlying asset Enter the present value of expansion potential (as assessed today) = $100.00 (in currency) Entet the annualized standard deviation in ln(present value of CF) 31.62% (in %) Enter the initial investment needed for expansion option (in PV $) = $150.00 (in currency) Enter the number of years you have rights to project
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Unformatted text preview: 10 (in years) Enter the cost associated with waiting an extra year to expand = 0.00% General Inputs Enter the riskless rate that corresponds to the option lifetime = 6.50% (in %) VALUING A LONG TERM OPTION/WARRANT Stock Price= $100.00 T.Bond rate= 6.50% Strike Price= $150.00 Variance= 0.10 Expiration (in years) = 10 Cost of delay = 0.00% d1 = 0.7445348919 N(d1) = 0.7717235298 d2 =-0.2554651081 N(d2) = 0.3991819447 Value of Option to Expand = $45.91...
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This note was uploaded on 01/29/2012 for the course FIN 6000 taught by Professor Banko during the Fall '11 term at University of Florida.

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