Derivative Warrants Pricing Calculation


The value of a warrant is influenced by the supply of and demand for the warrant, and its underlying asset.  In general, the value of a warrant is affected by the following factors:

(1)   the price of the underlying asset,
(2)   the volatility of the underlying asset’s price,
(3)   the time remaining to expiry,
(4)   interest rates, and
(5)   the expected dividend payment on underlying assets

The availability of option pricing models allows you to determine the theoretical value of a warrant.  By using the Options/Warrants Calculator, you will be able to determine the theoretical value of a warrant and to learn how the factors affect the theoretical value of a warrant.  The theoretical values of warrants of a more complicated nature e.g. exotic warrants, may not be determined directly from the calculator.


Enter the following information and choose Black Scholes Model (for European style),

Stock Price = $100                           Strike Price = $108

Volatility (per year) = 20%               Interest Rate (per year) = 5%

Value Date = 8 Mar 2006                Expiry Date = 30 Apr 2006

The theoretical price of call and put warrants will then be calculated automatically which are equal to $0.77 and 7.99 respectively.

If you are interested in the options/warrant pricing, please go to Options/Warrants Calculator.   Please note that the calculator is intended for the purpose of education only.

Warrant is a type of options.  If you want to know more about the concepts on options, you may proceed to our options education program Options Education, in which you will be able to learn some basic concepts on options.

Updated 12 May 2006