Option Value based on the Black-Scholes Model: Black-Scholes Option Pricing Model Inputs: Stock Price (S) $10.

00 Strike Price (X) $10.00 Volatility (s) 40.00% Risk-free Rate 4.27% Time to expiration (T) 10 yrs Dividend Yield 0.00% # of Options (000) 10,000 # Shares Outstanding (000) 100,000 Tax Rate 40.00% Output: D1 D2 N(D1) N(D2) Call Price Put Price Value of Call Options (000) After-tax Option Value (000) 0.97003 -0.29488 0.83398 0.38404 $5.83411 $2.35874 $58,341 $35,005 Black-Scholes Option Pricing Model (with dilution) Inputs (with dilution effects): Stock Price (S) $10.00 Strike Price (X) $10.00 Volatility (s) 40.00% Risk-free Rate 4.27% Time to expiration (T) 10 yrs Dividend Yield 0.00% # of Options (000) 10,000 # Shares Outstanding (000) 100,000 Tax Rate 40.00% \ Adjusted S (dilution) $9.59 D1 0.93696 D2 -0.32795 N(D1) 0.82561 N(D2) 0.37148 Call Price $5.49418 Put Price $2.42844 Value of Call Options (000) $54,942 After-tax Option Value (000) $32,965

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