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Black-Scholes Model Warrant Value Calculation
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This spreadsheet is a part of The Ultimate Guide to Incentive Schemes in Swedish Startups by Erik Byrenius at www.startupdocs.se.
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The document is in view-only mode. To edit it, make a copy (File > Make a copy) and play around with the copy.
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Disclaimer: This document contains general information, which is not advice, and should not be treated as such.
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The information is provided "as is" without any representations or warranties, expressed or implied.
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Edit blue cells
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Input Values
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Current Company Valuation 6,000,000
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Current Number of Shares 10,000
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Current Share Price 600
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Strike Price 1,200
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Expiry Date (Years From Today) 5
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Compounded Risk-Free Interest Rate1%
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Volatility32.50%
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Number of Warrants 300
(corresponds to 3% pre-dilution = 2.91% post-dilution)
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Premium (total amount to pay by employee)
17,891.36
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Premium per warrant (used in documents) 59.64
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Internal B&S Formula Parameters (Ignore)
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Strike Price in Present Value PV(EX)1141.4753
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Volatility * sqrt(Time)0.7267
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d1-0.5216
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d2-1.2484
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Delta N(d1) Normal Cumulative Density Function
0.3010
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Bank Loan N(d2)*PV(EX)120.9392
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B&S