Option Value based on the Black-Scholes Model:

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

*Note: This spreadsheet requires iterative calculations which may result in circular references.
To correct this problem, go to "Tools" - "Options" - Calculation and check the "iteration" box.