32 Warrant Value Superior Clamps AB has a capital structure consisting of 4 million shares of equity and 500,000 warrants. Each warrant gives its owner the right to purchase one share of newly issued equity for an exercise price of €20. The warrants are European and will expire one year from today. The market value of the company’s assets is €88 million, and the annual variance of the returns on the firm’s assets is 0.04. Treasury bills that mature in one year yield a continuously compounded interest rate of 7 per cent. The company does not pay a dividend. Use the Black–Scholes model to determine the value of a single warrant.