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Capital fulcrum point

CFP = [(e/(s − w))1/y] × 100%

Where:

e = exercise price

s = share price

w = warrant price

y = years to expiry of warrant

Black-Scholes model

Basic model for calculating the fair value of a call option on a non-dividend paying stock

Call price = S [N(d1)] − E/ert[N(d2)]

Where:

S = current stock price

N(d1) = normal distribution function of d1

E = exercise price of option

e = the base of natural logarithms (= 2.718)

r = risk-free interest at an annual rate

t = time to expiry of option (as a fraction of a year)

N(d2) = normal distribution function of d2

To solve for d1:

d1 = [ln(S/E) + (r + 0.5sd2)t] / [sd(t)1/2]

Where:

ln(S/E) = the natural log of S/E

sd = the standard ...

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