Black-Scholes model with dividends
This tool may be used to calculate theoretical fair value prices of Equity warrants where the stock pays a dividend during the life of the warrant.
- May be used to calculate prices for Equity Call and Put warrants.
- Specify the dollar amount of the dividend and the expected ex-dividend date.
- The sensitivity coefficients (Greeks) are already adjusted for the conversion ratio.
- Again the results are shown graphically.
- May be used to calculate an approximate value for American-style call warrants.
- Calculate the warrant price based on the expiry date. Redo the calculation with the expiry date being the business day just prior to the stock going ex-dividend. The higher price is usually a good estimate for the theoretical fair value.
- American-style put warrants should not be valued using the Black-Scholes model.