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OPTION WORKSHEET: LONG TERM OPTIONS

VALUINGANEXPANSIONOPTION

Thisprogramcalculatesthevalueofanexpansionoption
inaninvestmentanalysis.
Inputsrelatingtheunderlyingasset

Enterthepresentvalueofexpansionpotential(asassessedtoday)= $100.00 (incurrency)

Entettheannualizedstandarddeviationinln(presentvalueofCF) 31.62% (in%)

Entertheinitialinvestmentneededforexpansionoption(inPV$)= $150.00 (incurrency)

Enterthenumberofyearsyouhaverightstoproject 10 (inyears)
Enterthecostassociatedwithwaitinganextrayeartoexpand= 0.00%
GeneralInputs

Entertherisklessratethatcorrespondstotheoptionlifetime= 6.50% (in%)

VALUINGALONGTERMOPTION/WARRANT

StockPrice= $100.00 T.Bondrate= 6.50%

StrikePrice= $150.00 Variance= 0.10

Expiration(inyears)= 10 Costofdelay= 0.00%


OPTION WORKSHEET: LONG TERM OPTIONS

d1= 0.7445348919
N(d1)= 0.7717235298

d2= 0.2554651081

N(d2)= 0.3991819447

ValueofOptiontoExpand= $45.91

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