Nick McVerry's Endowment Warrant Valuer

Nick McVerry's Endowment Warrant Valuer   »download  This model provides valuations of Endowment Warrants, long-dated call options mainly on ASX shares with variable exercise price. In essence, the exercise prices continuously increases at a predetermined interest rate whereas dividends paid on the shares reduce it at discrete times. It might thus happen, and investors will certainly hope so, that the exercise price could be reduced to zero before expiry. This model has been programmed by Nick McVerry as a final project for the FINA515 2006 course. It includes a sophisticated price data retrieval routine to obtain price data and outstanding amounts from the ASX website. It experiments with valuations proposed by Brown and Davis (2004) and Hoang, Powell and Shi (1999). Please get in touch with Nick (nick@link45.com) and he will be glad to do some work on this or a related model for you. Disclaimer: The model does not intend to provide investment advice but is purely illustrative for the smart use of Excel/VBA in financial modelling. References: Brown, C., and Davis, K. (2004). Dividend Protection at a Price. The Journal of Derivatives, 12(2), 62-68. Hoang, P., Powell, J.G., and Shi, J. (1999). Endowment Warrant Valuation. The Journal of Derivatives, 7(1), 91-103.

 

 

Kurt Hess, kurthess@waikato.ac.nz
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Revised: August 16, 2007 .