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TechAccountingPro
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Illustrative Measurement of a Call Option Embedded in a Market Making Arrangement
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An Illustrative case of measuring the fair value of a call option entered into as a part of a market-making arrangement using the "Token Loan + Call Option" model. We cover 3 scenarios:
(Scenario 1): Call with no barrier measured using a Black-Scholes-Merton (BSM) technique
(Scenario 2): Call with no barrier measured using a Monte Carlo simulation technique
(Scenario 3): Call with a barrier measured using a Monte Carlo simulation technique
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See the substack post on techaccountingpro.substack.com for further details.
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CONTENT
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TitleTab #Descriotion
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Summary1Key results of measurement under each of the scenarios covered.
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Measurement2Inputs, calculations, and outputs under each scenario.
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Monte Carlo3Detailed calculations showing each Monte Carlo simulation run.
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Price4Historical pricing data for the underlying token, daily log returns, and volatility.
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CODR5CoinDesk overnight rate support.
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Terms6Terms of illustrative token loan agreements.
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Random Numbers (hidden tab)7Set of random numbers generated for each date during the expected life of a call option and simulation run.
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This template is intended solely as an example of the analysis that may be relevant for the specific illustrative scenario case. It is intended to provide general guidance. We used commonly known calculation techniques for both BSM and Monte Carlo techniques. By using this guide, you understand that no legal, investment, accounting, or other advice has been sought from, or is being provided by, TechAccountingPro or any of its employees or agents.
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2025, TechAccountingPro, LLC. All rights reserved.
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