Chapter 16 Appendix 16C Advanced Models for Measuring Fair Value

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Chapter 16 Appendix 16C Advanced Models for Measuring Fair Value Prepared by: Dragan Stojanovic, CA Rotman School of Management, University of Toronto

Options Pricing Models Two examples The Black-Scholes option pricing model Binomial tree option pricing model Inputs in the models: Exercise price Term of the option Current market price of underlying asset Volatility of underlying asset Expected dividend during life of option Risk-free rate during life of option

Black-Scholes Model Often used to estimate fair values of options for publicly traded companies This model has two components – an intrinsic value component and a time value component

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