Okay, John, I found the link:
As promised: cboe.com
I used 770 days to expiration (until 06-03-2000,) a strike of 7.12, a value of 14.75 for the underlying, 60% volatility, and a risk-free rate of 5.5%. You can verify that the theoretical value of the warrants is computed to be 9.12 under those assumptions.
Using the margin interest rate rather than the risk-free rate, as per Bernie, I get a theoretical value of 9.26 (using a fairly low 7% margin rate.)
Alternately, you can enter a price for the warrants, 8.75, and ask the model to compute the "implied volatility." This turns out to be a mere 39.1%. In my view, expecting the volatility to _decline_ over time, given the expected parade of clinical developments, NDAs, achievement of profitability (or the failure to do so,) etc., is a highly unnatural and unrealistic assumption.
The clear conclusion of this analysis is that the warrants are a good buy relative to the common. Bernie may have his own methodology, but he concurs with this conclusion, as he has already indicated.
Good luck,
RB
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