Black Scholes Value Definition Example

Black Scholes Value. Means the value of the Warrants based on the Black- Scholes Option Pricing Model obtained from the "OV" function on Bloomberg determined as of the day immediately following the first public announcement of the applicable Change of Control, or, if the Change of Control is not publicly announced, the date the Change of Control is consummated, for pricing purposes and reflecting (i) a risk-free interest rate corresponding to the U.S. Treasury rate for a period equal to the remaining term of the... Warrants as of such date of request, (ii) an expected volatility equal to the greater of (x) 100% and (y) the volatility obtained from the HVT function on Bloomberg for the one hundred (100) Trading Day period beginning with the First Trading Day immediately following the public announcement of the applicable Change of Control (iii) the underlying price per share used in such calculation shall be the greater of (a) the highest VWAP during the five (5) Trading Days prior to the closing of the Change of Control and (b) the sum of the price per share being offered in cash, if any, plus the value of any non-cash consideration, if any, being offered in such Change of Control, (iv) a zero cost of borrow and (v) a 365 day annualization factor. View More