BS options val, page-112

flybo77,

Ok I calculated the annualised historical share price volatility of CDV shares using daily closing prices from last Friday and a period of 252 days (number of trading days in a year) and I get a share price volatility of 86% which gives an option price of 35.6cents using the online Black-Scholes calculator that you used. Assuming my calculation is correct and applicable in this circumstance that would undervalue the options on their relative closing price to the main shares on Friday by 22.9%. Esh DYOR