Previous Topic

Next Topic

oBSw( ) - Black Scholes Warrant Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBSw(ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, TotalShares, Warrants, SharesPerWarrent, DividendSchedule, OutputFlag)

Calculates the warrant value using the Black-Scholes closed-form warrant pricing solution, incorporating an adjustment for dilution. Returns the warrant value and the Greeks associated with the warrant (if requested).

 

Option Types

European call warrants.

 

 

Function Parameters

 

Parameters

 

Description

Parameter Type

 

Restrictions

.

ValueDate

 

Valuation date of the warrant.

 

Date

 

ValDate < MatDate

MaturityDate

 

Maturity date of the warrant.

 

Date

 

MatDate > ValDate

Spot

 

Current market price of the underlying asset.

 

Double

 

Spot > 0

Exercise

 

Exercise price of the warrant.

 

Double

 

Exercise > 0

Standard Deviation

The standard deviation of the spot price plus the diluted warrant price.

 

Double

 

 

Standard Deviation >= 0%

RiskFree

 

Risk free interest rate, entered as either a single rate (act/365) or as a user defined zero curve object.

 

Double or Curve

 

RiskFree >= 0%

TotalShares

 

Total number of outstanding shares of the underlying instrument.

 

Double

 

TotalShares >= 0

Warrants

 

The number of warrants.

 

Double

 

Warrants >= 0

SharesPerWarrent

 

The number of shares that can be purchased with each warrant.

 

Double

 

Shares PerWar >= 0

DividendSchedule

 

The dividend schedule of the underlying stock. Entered as a range of cells 2 columns wide. The first column is the date while the second is the rate. Alternatively, the dividend can be entered as a single continuous rate.

 

Curve or Double

 

 

If specified as a Curve, each dividend date must be unique.

OutputFlag

 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function.

 

Enumerated Constant

 

0 - Value & Greeks
1 - Value only
2 - Delta only
3 - Gamma only
4 - Theta only
5 - Vega only
6 - Rho only

See Also

Parameter Types

oBS( ) - Black Scholes Function

oBSw_IS( ) - Black Scholes Warrant Implied Spot Function

oBSw_IV( ) - Black Scholes Warrant Implied Volatility Function

oBSw_IX( ) - Black Scholes Warrant Implied Strike Function

In This Section

oBSw( ) Model Definition

oBSw( ) Model Greeks

oBSw( ) Valuation Assumptions

oBSw( ) Example 1

oBSw( ) Example 2

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.