Feb-06-2018, 06:46 PM

(Feb-06-2018, 06:37 PM)boring_accountant Wrote: Hello, I am unsure what is the objective you are trying to reach, but it looks like you are performing multiple runs of call valuations using the BSM model. Would it make sense in your setup to give a default value to Value_2 before the for loop ? Alternatively, this looks like Value_2 is used in place of St (spot price at time t), maybe you could use this as an additional input to your function instead. If you give some more details on your objective I might be of help. I am familiar with BSM and derivatives.Thank you for the reply! What I am trying to do is to price a warrant with one unknown (firm value). The idea is that the warrant price is equal to a BSM of european call. Once, a company initiates a warrant its firm value changes (#of Shares * Share_price + warrant). I want to find a warrant value (based on the number of iterations) such that the "initial firm value" - "new firm value"(given the initition of warrant) close to zero.