By Odegaard B.A.
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1 Delta . . . . . . . . . . . 2 Other Derivatives . . . . . . . . 3 Implied Volatility. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 40 40 40 41 41 41 41 44 The pricing of options and related instruments has been a major breakthrough for the use of financial theory in practical application.
47 48 48 A warrant is an option-like security on equity, but it is issued by the same company which has issued the equity, and when a warrant is exercised, a new stock is issued. ) Since the new stock is a a fractional right to all cashflows, this stock issue waters out, or dilutes, the equity in a company. The degree of dilution is a function of how many warrants are issued. 1 Warrant value in terms of assets Let K be the strike price, n the number of shares outstanding and m the number of warrants issues.
3 Estimating partials. . . . . . . . . . . . . . . . . . Adjusting for payouts for the underlying . . . . . . . . . . . 1 Checking for early exercise in the binomial model. . . . . . . . . 2 Proportional dividends. . . . . . . . . . . . . . . . . 3 Discrete dividends . . . . . . . . . . . . . . . . . . Option on futures . . . . . . . . . . . . . . . . . . Foreign Currency options .