n******y
发帖数: 192 | 1 You have American call on company S that will expire in 1 year. The current
stock price is 100, exercise price is 75. In 6 months the company will spin-
off one of its subsidiaries, B. Note that the options will not be adjusted
for the spin-off, and the shares you can buy with your options will not
receive shares in B. Your company will, independent of your options position
, own a 10% share in the new company B. Your company paid $15 for that
position a month ago. Assuming that the volatility o | n******y
发帖数: 192 | | n******y
发帖数: 192 | 3 just find there is no interest rate in this problem. maybe this is a bug | n******y
发帖数: 192 | 4 assume risk free rate is 5%
current
spin-
position
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【在 n******y 的大作中提到】
: You have American call on company S that will expire in 1 year. The current
: stock price is 100, exercise price is 75. In 6 months the company will spin-
: off one of its subsidiaries, B. Note that the options will not be adjusted
: for the spin-off, and the shares you can buy with your options will not
: receive shares in B. Your company will, independent of your options position
: , own a 10% share in the new company B. Your company paid $15 for that
: position a month ago. Assuming that the volatility o
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