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发帖数: 113 | 1 You hold an American call on company S that will expire in one year. The
stock is currently priced in the market at 100, and your exercise price is
75. In six 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 of S is 40%, what should be the price of this option? What
assumptions do you have to make about this valuation? Can you apply Black-
Scholes directly? If not, how do you have to modify it?
Thanks, |
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