Kenmare Resources - re-rating due soon?

blobby - Fri, 30 Dec 05 :

sidp164,

given that the Black-Scholes model is as follows:

The model is expressed as the following formula.

C = S * N(d1) - K * (e ^ -rt) * N (d2)



       ln (S / K) + (r + (sigma) ^ 2 / 2) * t

d1 =   --------------------------------------

             sigma * sqrt(t)



d2 = d1 - sigma * sqrt(t)

Where:
C = theoretical call premium
S = current stock price
N = cumulative standard normal distribution
t = time until option expiration
r = risk-free interest rate
K = option strike price
e = the constant 2.7183..
sigma = standard deviation of stock returns (usually written as lower-case 's')
ln() = natural logarithm of the argument
sqrt() = square root of the argument
^ means exponentiation (i.e., 2 ^ 3 = 8)

What values have you used for all the variables? (I think I know S,t,K,e)

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