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Example on Calculation of the Theoretical Value of an Index Warrant  
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To calculate the theoretical value of an index warrant, e.g. a put, enter the relevant information in the Options/Warrants Calculator as shown in the following "Background Information" column to arrive at the figure (523.4801) as shown in the "Put" column. Then divide the figure by the divisor to arrive at the theoretical value of the the index warrant.
 

Theoretical value of the index warrant
= theoretical value of the put / divisor of the index warrant
= 523.4801/1950 = 0.2684
 
  Background Information   Call Put
Stock Price (Index Level)

6400.00

Theoretical Price 632.1884

523.4801
Strike Price (Strike Level)

6400.00

Delta 0.5778 -0.4346
Volatility (% per year)

32.72

Theta -13.7837 -9.4529
Interest Rate (% per year) 4.00 Gamma 3.0E-4 3.0E-4
Value Date 2006 03 08      
Expiry Date 2006 08 30      
Dividend ($)

1.77

     
Ex-Dividend Date

2006 04 30

     
 
 
 
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