Ann: Trading Halt, page-365

Hey Gorey,

Great question. As I have a derivs background I thought I might weigh in. With respect to the theoretical valuation, the way most commonly used to value an American option is to run a stochastic model with daily timesteps, and at each timestep, a decision as to whether to exercise or hold the option. This is particularly relevant because part of an american options value is the ability to exercise when ITM irrespective of when that occurs.

Just from my perspective, I'm valuing the options at about $0.84, with an implied volatility of 75%. But given it's such an illiquid market, it's really quite difficult to know the true value of the offer.