optlt - 30% (in %) Enter the current annualized dividends...

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OPTION WORKSHEET: LONG TERM OPTIONS VALUING A LONG TERM OPTION - WITH DIVIDEND ADJUSTMENT This program calculates the value of a long term option (> 1 year) adjusting for dividends using the expected dividend yield on the current value of the asset. Assumptions 1. All the assumptions underlying the Black-Scholes model apply 2. The dividend yield over the lifetime of the option is known and a constant. The user has to input the following variables 1. Current market value of the underlying asset 2. Variance in the ln(value) of the underlying asset 3. Strike price of the option 4. Riskless interest rate that corresponds to the life of the option 5. Time to expiration on the option 6. Expected dividend yield on the underlying asset. Inputs relating the underlying asset Enter the current market value of the underlying asset = $10.97 (in currency) Entet the annualized standard deviation in ln(value) of ass
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Unformatted text preview: 30% (in %) Enter the current annualized dividends on the asset $0.19 (in currency) This will result in a dividend yield of 1.70% Do you want to change this dividend yield for the life of th No (Yes or No) If yes, enter the new dividend yield for the life of the option = (in %) Inputs relating to the option Enter the strike price on the option = $15.91 (in currency) Enter the time to expiration on the option (i 3 (in years) General Inputs Enter the riskless rate that corresponds to the option lifetim 5.00% (in %) VALUING A LONG TERM OPTION/WARRANT Stock Price= $10.97 T.Bond rate= 5.00% Strike Price= $15.91 Variance= 0.09 Expiration (in years 3 Annualized dividend yield= 1.70% d1 =-0.265340041 N(d1) = 0.39537376 d2 =-0.784955284 N(d2) = 0.216239893 Value of the call = $1.16 Value of the put = $4.43...
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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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