Warrants Calculator
This calculator allows you to adjust different parameters and find out how they affect the fair value of a warrant as well as its risk characteristics, including omega, delta, vega, theta and gamma. Please note that the fair values generated are purely illustrative and do not reflect the current or future prices of the warrants. To find out how to read the changes in the risk characteristics, you can read the Guide to the Goldman Sachs Calculator.
Enter Short Code or search product:
Goldman Sachs
StockWKN: GG71R5
ISIN: DE000GG71R50
Distance to Strike
108,23 (22,2%)
Strike
380,00
Maturity
17/05/2024
Ratio
0,1
Parameters
Days till maturity
Underlying price
current estimate =
488
Volatility (yearly)
current estimate =
322
FX Rate
current estimate = 1,09
Results
Leverage (Omega)
0,00
Delta %
-100
Delta (EUR)
0,00 €
Vega (EUR)
0,00 €
Theta (EUR)
-
Gamma (EUR)
-
Fair Value :
38,0 €
The calculations are based on the Black-Scholes model, excluding interest and funding rates, dividends and issuer credit. Please note that the Fair Value generated by this calculator is purely illustrative and does not reflect the current or future price of the warrant.
Underlier information
Level (USD)488,23
Daily change 2,93 (0,60%)Since previous close
The Fair Value represents the theoretical price of the warrant based on issuer's simplified pricing model, excluding interest and funding rates, issuer credit and dividends.
The calculations of the Fair Value are based on the Black-Scholes model. Please note that there are various models for calculating the fair value of a warrant and the results of such calculations may differ.
The Fair Value generated by this calculator is purely illustrative and does not reflect the current or future price of the warrant. The actual price of the warrant will also depend on additional factors, including issuer’s margin, bid-offer spreads and the other factors set out above (interest and funding rates, issuer credit and dividends).
The calculations of the Fair Value are based on the Black-Scholes model. Please note that there are various models for calculating the fair value of a warrant and the results of such calculations may differ.
The Fair Value generated by this calculator is purely illustrative and does not reflect the current or future price of the warrant. The actual price of the warrant will also depend on additional factors, including issuer’s margin, bid-offer spreads and the other factors set out above (interest and funding rates, issuer credit and dividends).