http://www.aleablog.com/capital-one-tarp-warrants-net-146-5-million/ Alea Jacta Est Mon, 12 Jul 2010 20:04:31 +0000 hourly 1 http://wordpress.org/?v=3.0 http://www.aleablog.com/capital-one-tarp-warrants-net-146-5-million/#comment-3634 jck Fri, 04 Dec 2009 17:51:25 +0000 http://www.aleablog.com/?p=4440#comment-3634 Agreed, his midpoint is twice what the market is prepared to pay, volatility assumption way off. Agreed, his midpoint is twice what the market is prepared to pay, volatility assumption way off.

]]> http://www.aleablog.com/capital-one-tarp-warrants-net-146-5-million/#comment-3633 David Merkel Fri, 04 Dec 2009 17:39:14 +0000 http://www.aleablog.com/?p=4440#comment-3633 That price represents a reasonable long term implied volatility level. I'm guessing Linus Wilson just extrapolates off of current short-term implied volatilities. That price represents a reasonable long term implied volatility level. I’m guessing Linus Wilson just extrapolates off of current short-term implied volatilities.

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