Theoretical warrant price calculators

The following calculators (provided by Peter Hoadley's web site) may be used to calculate the theoretical fair value for warrants. There are two models - the Black-Scholes model and the binomial model, which are used under different circumstances.

Black-Scholes model without dividends

Best to be used for Equity Call warrants (European and American-style) and European-style Equity Put warrants.
Sensitivity coefficients "Greeks" are adjusted for the conversion ratio of the warrant.
Provides the ability to analyse the various measures (sensitivity coefficients) by 4 different factors like share price, time to maturity, interest rate, and volatility.
The results are shown graphically.

Binomial model

You can use the binomial model to value American and European style warrants.
This model does not provide you with a detailed analysis of the sensitivity coefficients.

Black-Scholes model with dividends

This tool may be used to calculate theoretical fair value prices of Equity warrants where the stock pays a dividend during the life of the warrant.

European-style warrants

May be used to calculate prices for Equity Call and Put warrants.
Specify the dollar amount of the dividend and the expected ex-dividend date.
The sensitivity coefficients (Greeks) are already adjusted for the conversion ratio.
Again the results are shown graphically.

American-style warrants

May be used to calculate an approximate value for American-style call warrants.
Calculate the warrant price based on the expiry date. Redo the calculation with the expiry date being the business day just prior to the stock going ex-dividend. The higher price is usually a good estimate for the theoretical fair value.
American-style put warrants should not be valued using the Black-Scholes model.