{"text_format":"1","workbook":"xlsx","n_sheets":6,"sheets":["Welcome","Inputs","Black-Scholes","Binomial","Mini MC","Volatility"],"not_rendered":{"charts":4,"images":2,"macros":1,"external_links":1,"defined_names":60,"comments":0,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

{"sheet":"Welcome","index":0,"n_rows":0,"n_cols":0,"rows_kept":0,"cut":false,"hidden":true,"merged":[]}

{"sheet":"Inputs","index":1,"n_rows":23,"n_cols":3,"rows_kept":23,"cut":false,"hidden":false,"merged":[]}
["Introduction"]
[]
["This template has been developed to assist in the review of valuations of share based payments."]
["It is the user's responsibility to understand the instrument being valued and apply the appropriate methodology, given the specific circumstances."]
["Leadenhall Corporate Advisory Pty Ltd is not be liable for any loss or damage which may be sustained by any person using or relying on this template."]
[]
["Inputs"]
[]
["Variable","Input","Notes"]
[]
["Current price",1.2,"Current share price on grant date"]
["Exercise price",1.5,"Cannot be zero, use 0.0001 for zero exercise price"]
["Life (years)",2.5,"Consider likelihood of early exercise"]
["Volatility",0.4,"See volatility sheet"]
["Risk free rate",1.4999999999999999E-2,"Period should match life - can be sourced from RBA statistics"]
["Dividend yield",0.02,"Should be prospective dividend yield"]
[]
["Contact details"]
["For option valuation advice please contact:"]
[]
["Richard Norris"]
["Richard.Norris@Leadenhall.com.au"]
["0416 152 823"]

{"sheet":"Black-Scholes","index":2,"n_rows":18,"n_cols":2,"rows_kept":18,"cut":false,"hidden":false,"merged":[]}
["Black-Scholes option valuation"]
[]
["Variable","Inputs"]
[]
["Spot price",{"$f":"Inputs!B11","v":1.2}]
["Exercise price",{"$f":"Inputs!B12","v":1.5}]
["Life",{"$f":"Inputs!B13","v":2.5}]
["Volatility",{"$f":"Inputs!B14","v":0.4}]
["Rf",{"$f":"LN(1+Inputs!B15)","v":1.4888612493750559E-2}]
["Dividend yield",{"$f":"LN(1+Inputs!B16)","v":1.980262729617973E-2}]
[]
["d1",{"$f":"(LN(B5/B6)+(B9-B10+(B8^2/2))*B7)/((B8)*(B7^0.5))","v":-5.6017516688266253E-2}]
["N(d1)",{"$f":"NORMSDIST(B12)","v":0.47766392638609051}]
["d2",{"$f":"B12-(B8*(B7^(0.5)))","v":-0.68847304872194226}]
["N(d2)",{"$f":"NORMSDIST(B14)","v":0.24557746832430599}]
["Call option value",{"$f":"(EXP((0-B10)*B7))*B5*B13-B6*(EXP((0-B9)*B7))*B15","v":0.19060359736873617}]
[]
["Put option value",{"$f":"B16-B5*EXP((-B10)*B7)+B6*EXP((-B9)*(B7))","v":0.49375892075967287}]

{"sheet":"Binomial","index":3,"n_rows":45,"n_cols":12,"rows_kept":45,"cut":false,"hidden":false,"merged":[[5,5,6,11]]}
["Binomial option valuation"]
[]
["Variable",null,null,"Input"]
[]
["Spot price",null,null,{"$f":"Inputs!B11","v":1.2},null,"Note"]
["Exercise price",null,null,{"$f":"Inputs!B12","v":1.5},null,"This is a simplistic example with a small number of steps, prepared to demonstrate the binomial method."]
["Life",null,null,{"$f":"Inputs!B13","v":2.5}]
["Volatility",null,null,{"$f":"Inputs!B14","v":0.4},null,"It should not be used for valuation purposes."]
["Rf",null,null,{"$f":"LN(1+Inputs!B15)","v":1.4888612493750559E-2}]
["Dividend yield",null,null,{"$f":"LN(1+Inputs!B16)","v":1.980262729617973E-2}]
[]
["Steps",5,null,"Note: this example is set for 5 steps"]
["Interval",{"$f":"D7/B12","v":0.5}]
["Up",{"$f":"EXP(D8*SQRT(B13))","v":1.3268964411453439}]
["Down",{"$f":"EXP(-D8*SQRT(B13))","v":0.75363831644376478}]
["Pup",{"$f":"(EXP((D9-D10)*B13)-B15)/(B14-B15)","v":0.42547620629726296}]
["Pdown",{"$f":"1-B16","v":0.57452379370273698}]
["Discount factor",{"$f":"EXP(-D9*B13)","v":0.99258333397093035}]
[]
[null,"T0",null,"T1",null,"T2",null,"T3",null,"T4",null,"T5"]
[null,null,null,null,null,null,null,null,null,null,null,{"$f":"J22*$B$14","v":4.935900454539512}]
[null,null,null,null,null,null,null,null,null,{"$f":"H23*$B$14","v":3.7198837086931715}]
[null,null,null,null,null,null,null,{"$f":"F24*$B$14","v":2.8034468955861098},null,null,null,{"$f":"J22*$B$15","v":2.8034468955861098}]
[null,null,null,null,null,{"$f":"D25*$B$14","v":2.1127849986290146},null,null,null,{"$f":"H23*$B$15","v":2.1127849986290146}]
[null,null,null,{"$f":"B26*$B$14","v":1.5922757293744125},null,null,null,{"$f":"F24*$B$15","v":1.5922757293744125},null,null,null,{"$f":"J24*$B$15","v":1.5922757293744125}]
["Stock price",{"$f":"D5","v":1.2},null,null,null,{"$f":"D25*$B$15","v":1.2},null,null,null,{"$f":"H25*$B$15","v":1.2}]
[null,null,null,{"$f":"B26*$B$15","v":0.90436597973251764},null,null,null,{"$f":"F26*$B$15","v":0.90436597973251764},null,null,null,{"$f":"J26*$B$15","v":0.90436597973251764}]
[null,null,null,null,null,{"$f":"D27*$B$15","v":0.68156485441463055},null,null,null,{"$f":"H27*$B$15","v":0.68156485441463055}]
[null,null,null,null,null,null,null,{"$f":"F28*$B$15","v":0.51365338942828176},null,null,null,{"$f":"J28*$B$15","v":0.51365338942828176}]
[null,null,null,null,null,null,null,null,null,{"$f":"H29*$B$15","v":0.38710887564436375}]
[null,null,null,null,null,null,null,null,null,null,null,{"$f":"J30*$B$15","v":0.291740081321057}]
[]
[]
[null,null,null,null,null,null,null,null,null,null,null,{"$f":"MAX(L21-$D$6,0)","v":3.435900454539512}]
[null,null,null,null,null,null,null,null,null,{"$f":"((L34*$B$16)+(L36*$B$17))*$B$18","v":2.1943587133651068}]
[null,null,null,null,null,null,null,{"$f":"((J35*$B$16)+(J37*$B$17))*$B$18","v":1.2706448362985618},null,null,null,{"$f":"MAX(L23-$D$6,0)","v":1.3034468955861098}]
[null,null,null,null,null,{"$f":"((H36*$B$16)+(H38*$B$17))*$B$18","v":0.69453781601208042},null,null,null,{"$f":"((L36*$B$16)+(L38*$B$17))*$B$18","v":0.60309387427409955}]
[null,null,null,{"$f":"((F37*$B$16)+(F39*$B$17))*$B$18","v":0.3653618594178612},null,null,null,{"$f":"((J37*$B$16)+(J39*$B$17))*$B$18","v":0.27692206684089327},null,null,null,{"$f":"MAX(L25-$D$6,0)","v":9.227572937441253E-2}]
["Option payoff",{"$f":"((D38*$B$16)+(D40*$B$17))*$B$18","v":0.18698589230325174},null,null,null,{"$f":"((H38*$B$16)+(H40*$B$17))*$B$18","v":0.12633516596433483},null,null,null,{"$f":"((L38*$B$16)+(L40*$B$17))*$B$18","v":3.8969940598669824E-2}]
[null,null,null,{"$f":"((F39*$B$16)+(F41*$B$17))*$B$18","v":5.7317536860661579E-2},null,null,null,{"$f":"((J39*$B$16)+(J41*$B$17))*$B$18","v":1.645780835935574E-2},null,null,null,{"$f":"MAX(L27-$D$6,0)","v":0}]
[null,null,null,null,null,{"$f":"((H40*$B$16)+(H42*$B$17))*$B$18","v":6.9504713590075378E-3},null,null,null,{"$f":"((L40*$B$16)+(L42*$B$17))*$B$18","v":0}]
[null,null,null,null,null,null,null,{"$f":"((J41*$B$16)+(J43*$B$17))*$B$18","v":0},null,null,null,{"$f":"MAX(L29-$D$6,0)","v":0}]
[null,null,null,null,null,null,null,null,null,{"$f":"((L42*$B$16)+(L44*$B$17))*$B$18","v":0}]
[null,null,null,null,null,null,null,null,null,null,null,{"$f":"MAX(L31-$D$6,0)","v":0}]
["Call option value",{"$f":"B39","v":0.18698589230325174}]

{"sheet":"Mini MC","index":4,"n_rows":219,"n_cols":4,"rows_kept":219,"cut":false,"hidden":false,"merged":[]}
["Mini Monte-Carlo example"]
[]
["Note"]
["This is a simplistic example with a small number of observations to demonstrate the operation of a Monte Carlo model."]
["It is based on a small number of randomly generated samples."]
["It should not be used for valuation purposes"]
[]
["Variable","Input"]
["Spot price",{"$f":"Inputs!B11","v":1.2}]
["Exercise price",{"$f":"Inputs!B12","v":1.5}]
["Life",{"$f":"Inputs!B13","v":2.5}]
["Volatility",{"$f":"Inputs!B14","v":0.4}]
["Rf",{"$f":"LN(1+Inputs!B15)","v":1.4888612493750559E-2}]
["Dividend yield",{"$f":"LN(1+Inputs!B16)","v":1.980262729617973E-2}]
["Dividend",{"$f":"B9*((1+B14)^B11-1)","v":6.0293110886247892E-2}]
[]
["Call option value",{"$f":"AVERAGE(D20:D219)","v":0.18499720888494256}]
[]
["Random Numbers","Future price","Pay-off","Present value"]
[1.9986237585059401,{"$f":"$B$9*(1+(EXP(($B$13-0.5*($B$12)^2)*$B$11+($B$12*($B$11^(0.5))*A20)))-1)-$B$15","v":3.5492591620989837},{"$f":"MAX(B20-B$10,0)","v":2.0492591620989837},{"$f":"EXP(-B$13*B$11)*C20","v":1.9743847133263945}]
[0.45847424413329502,{"$f":"$B$9*(1+(EXP(($B$13-0.5*($B$12)^2)*$B$11+($B$12*($B$11^(0.5))*A21)))-1)-$B$15","v":1.3024608997789457},{"$f":"MAX(B21-B$10,0)","v":0},{"$f":"EXP(-B$13*B$11)*C21","v":0}]
[0.464006687052265,{"$f":"$B$9*(1+(EXP(($B$13-0.5*($B$12)^2)*$B$11+($B$12*($B$11^(0.5))*A22)))-1)-$B$15","v":1.3072375608979974},0,0]
[1.23345135960006,2.1644606136754376,0.66446061367543763,0.64018300003818229]
[-0.14594604412973,0.86952964602938843,0,0]
[-1.0470962174124525,0.46557822368613788,0,0]
[1.595316012901689,2.7366009170150445,1.2366009170150445,1.1914188269575119]
[-9.5919881331112317E-2,0.89941895435278063,0,0]
[0.46868322789160699,1.3112882994966197,0,0]
[-1.094437028351156,0.45006650885166999,0,0]
[0.24938326713704997,1.1336566227185918,0,0]
[-1.9904721219256245,0.22928157965130819,0,0]
[0.9904385509949003,1.847508192171174,0.34750819217117401,0.33481117228515589]
[-1.108264362364306,0.44562278412399969,0,0]
[0.99337528979145073,1.8510549524797726,0.35105495247977259,0.33822834345835057]
[0.25347824216029247,1.1367528284097359,0,0]
[0.46963544882789754,1.3121145658968452,0,0]
[0.56829420438381828,1.4004771921623389,0,0]
[1.7471892571297218,3.0185767433579218,1.5185767433579218,1.4630920107868903]
[0.714879255527748,1.5423791961483782,4.2379196148378151E-2,4.0830773669795629E-2]
[-3.1643548424478522E-2,0.93923695034367616,0,0]
[0.13077985360172809,1.0473733666053133,0,0]
[1.3917513801608332,2.3987294736386175,0.89872947363861755,0.86589230244088278]
[1.0931987823672014,1.9756165066882705,0.47561650668827049,0.45823875163216859]
[1.7841174914526543,3.0913314871521584,1.5913314871521584,1.5331884908349227]
[-0.10971334883105557,0.89108307454369606,0,0]
[1.0620010739099723,1.9358393567700838,0.43583935677008379,0.41991495238282472]
[1.1936917039214023,2.1092140125916092,0.60921401259160923,0.58695496199372754]
[-0.36993504697835372,0.74671272518609355,0,0]
[7.4565663819148947E-2,1.0086843575759781,0,0]
[0.75362437253082293,1.5821371174161805,8.2137117416180461E-2,7.9136046832210608E-2]
[-0.1891930663587065,0.84444196368978486,0,0]
[1.3546248494745308,2.3416620784226239,0.84166207842262386,0.81090999721190105]
[-0.46417085429196042,0.70002046071938084,0,0]
[-1.8376534163987486,0.25866644090362712,0,0]
[1.4573763207110524,2.5029384844010858,1.0029384844010858,0.96629379467066101]
[-0.53730146911804211,0.66565539261818563,0,0]
[-0.51426062958017726,0.67631159078350334,0,0]
[1.4316451830476578,2.4615625501390537,0.96156255013905367,0.92642962638123894]
[1.692997822029974,2.9148404318122303,1.4148404318122303,1.3631459466088034]
[0.36809546137741184,1.226749579970821,0,0]
[0.61560341520505135,1.4448453183253791,0,0]
[0.38412288756402185,1.2398622078073265,0,0]
[0.77507880228023363,1.6045750943622561,0.10457509436225609,0.10075420011396813]
[-0.30858640212900407,0.77864017734410718,0,0]
[-0.92527070929777999,0.50769801109617663,0,0]
[-0.50526154867857365,0.6805159432954524,0,0]
[-0.61757931079274886,0.62971745850343519,0,0]
[-0.46077347270880048,0.70165589739498391,0,0]
[-9.9840895973150448E-2,0.89704194424043959,0,0]
[-0.30899479271317659,0.77842351818271094,0,0]
[1.6508864330078739,2.8366478678485594,1.3366478678485594,1.2878103297961696]
[-1.1534137749007036,0.43138066741890818,0,0]
[0.46151194433587606,1.3050815534248854,0,0]
[-1.5000340221397466,0.33459148167086933,0,0]
[0.3616717892715936,1.221531335638663,0,0]
[1.6749271778095114,2.8810315575989747,1.3810315575989747,1.3305723582330631]
[-1.3901186421471559,0.36301916248340588,0,0]
[0.3975063338403575,1.2509139950982873,0,0]
[-4.7604606651137894E-2,0.9291977908426482,0,0]
[8.4744870530158223E-2,1.015588523215186,0,0]
[0.42078121145639724,1.2703581510192359,0,0]
[-0.25559524662037975,0.80723311186882529,0,0]
[0.36573900960785966,1.2248328633090315,0,0]
[-0.42712623525788834,0.71804421936247331,0,0]
[2.686133984092812E-2,0.97691406275208426,{"$f":"MAX(B85-B$10,0)","v":0},{"$f":"EXP(-B$13*B$11)*C85","v":0}]
[0.14334145894413108,{"$f":"$B$9*(1+(EXP(($B$13-0.5*($B$12)^2)*$B$11+($B$12*($B$11^(0.5))*A86)))-1)-$B$15","v":1.0562084459727641},0,0]
[0.3872746897552512,1.2424564893955621,0,0]
[-9.2706043652376252E-2,0.90137165800570829,0,0]
[1.0123051969844863,1.8740757631063594,0.37407576310635937,0.36040803523679793]
[-0.25569153879408535,0.80718028068126246,0,0]
[0.33237901221057925,1.1980023962572033,0,0]
[-0.70448208699703907,0.59281637021041977,0,0]
[0.33228760935753421,1.1979296585109109,0,0]
[0.17993571520405016,1.0823503763961737,0,0]
[-1.6800697406910878,0.29209352327431243,0,0]
[-0.12241270676599304,0.88347243550518351,0,0]
[0.7125259421155955,1.5399956073058316,3.9995607305831626E-2,3.8534274788336972E-2]
[0.85240935536005147,1.68802474487534,0.18802474487534004,0.18115482359426208]
[0.14461182033737754,1.0571058563631504,0,0]
[-2.7778346730154611,0.11569940327993136,0,0]
[1.0313969784488655,1.8975742756466389,0.39757427564663894,0.38304797497868776]
[-1.4541933515398521E-2,0.95010655535434374,0,0]
[1.0554328082467705,1.9275643507661508,0.42756435076615085,0.41194229296569423]
[-0.92400760592414999,0.50815193590500529,0,0]
[1.1881306403816108,2.1015969868520665,0.60159698685206653,0.57961624200198036]
[0.49136647679290696,1.3311070282878457,0,0]
[-0.59885698205062921,0.63793646629138301,0,0]
[-0.87196062761092852,0.52717504650385993,0,0]
[-2.4634928145914876,0.15440839275160281,0,0]
[-1.4036349771020631,0.35941590875117546,0,0]
[-0.62574960357703169,0.62616113085014791,0,0]
[5.704847549223728E-2,0.99690668634226909,0,0]
[-0.61824787124535785,0.62942575972670844,0,0]
[-1.5517377477479022,0.32188747857664035,0,0]
[-1.2556896855974133,0.40058355853619898,0,0]
[0.25578310006550664,1.1384990588236144,0,0]
[-0.50777934987888174,0.67933721970667049,0,0]
[-0.2339929153010154,0.81916703907478849,0,0]
[1.8329115597112948,3.1901071426606711,1.6901071426606711,1.6283551480795089]
[0.11842668660000362,1.0387530763147632,0,0]
[0.79924710080382888,1.630218714587685,0.13021871458768497,0.12546087104356174]
[0.51049286348781919,1.3480404357587423,0,0]
[0.42386464121803474,1.272955628795218,0,0]
[1.166032190632762,2.0715919586922071,0.57159195869220714,0.5507075173187268]
[0.22580825613465094,1.1159867155244918,0,0]
[1.1946010281729731,2.1104620705066148,0.61046207050661483,0.58815741921061226]
[-7.7038085033859199E-2,0.91094844148184517,0,0]
[-0.28853119980127645,0.78934899891960897,0,0]
[-0.70006657954343832,0.59464280072927045,0,0]
[2.1849479941530037,4.0006918042816135,2.5006918042816135,2.4093232141790635]
[-0.8597439081577366,0.53173171887211512,0,0]
[1.8428136755414339,3.2105271299535101,1.7105271299535101,1.6480290436525828]
[0.79104395007128214,1.6214708349305889,0.12147083493058886,0.11703261551179252]
[0.12290097980996049,1.0418675524459642,0,0]
[0.37192465290288024,1.2298703087729523,0,0]
[0.36551433853689119,1.2246502669987527,0,0]
[0.10991736884184324,1.0328541554531139,0,0]
[-2.7528689000998544E-2,0.94184158071052493,0,0]
[-0.48867661419848696,0.6883273587488008,0,0]
[1.4653805002541436E-2,0.96893690785955067,0,0]
[-1.4589718317631091,0.34498096180627991,0,0]
[-1.3299012796219802,0.37945185929838254,0,0]
[-1.0169779476693714,0.47569127940229017,0,0]
[-1.5026364347803527,0.33394207164596718,0,0]
[0.15519349275061203,1.0646090581901404,0,0]
[0.88973185798899102,1.7297844045715525,0.22978440457155247,0.22138869701682318]
[0.2016973848800368,1.0981856308362787,0,0]
[-0.94239746393449286,0.50157878327101824,0,0]
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{"sheet":"Volatility","index":5,"n_rows":198,"n_cols":3,"rows_kept":198,"cut":false,"hidden":false,"merged":[]}
["Volatility"]
[]
["Notes"]
["Insert daily prices in column B"]
["Use a period corresponding to the life of the option"]
["Extend down as far as needed"]
[]
["Trading periods per year:",null,252]
[]
["Volatility"]
["Daily",null,{"$f":"STDEV(C15:C1048576)","v":3.9604380389787058E-2}]
["Annual",null,{"$f":"C11*C8^0.5","v":0.62870004804107926}]
[]
["Date","Price","Return"]
["2017-01-10",1.22]
["2017-01-09",1.25,{"$f":"IFERROR(LN(B16/B15),\"\")","v":2.4292692569044483E-2}]
["2017-01-06",1.2,{"$f":"IFERROR(LN(B17/B16),\"\")","v":-4.0821994520255166E-2}]
["2017-01-05",1.1599999999999999,-3.3901551675681339E-2]
["2017-01-04",1.2,3.3901551675681416E-2]
["2017-01-03",1.25,4.08219945202552E-2]
["2017-01-02",1.2,-4.0821994520255166E-2]
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