Zion Aviation Rates: Discount rate 5.5% Option Pricing: Risk-free rate 3.3% PV of Cap. Ex. (Yrs. 1-2) Scenario: No Real Options Maturity 6.0 Start 1 2 3 4 5 6 7 PV of NCF Cash from Operations 2.0 5.0 6.0 8.3 10.2 12.1 15.6 Risk free rate minus: Capital Expenditures 3.0 5.8 5.9 2.0 1.2 1.3 1.5 2.0 Volatility 25% = Net Cash Flow (NCF) BS calculations: Terminal Value 8.0 d1 #DIV/0! PV of NCF N(d1) #DIV/0! Scenario: Real Options d2 #DIV/0! Start 1 2 3 4 5 6 7 N(d2) #DIV/0! Cash from Operations - 2.0 5.0 6.0 8.3 10.2 12.1 15.6 Price of call #DIV/0! minus: Capital Expenditures 3.0 2.0 1.2 1.3 1.5 2.0 Difference: = Net Cash Flow (NCF) - Value of Option over PV #DIV/0! Terminal Value 8.0 - % of PV #DIV/0! PV of NCF PV of Cap. Ex. (Yrs. 1-2)

Zion AviationRates:Discount rate5.5%Option Pricing:Risk-free rate3.3%PV of...

Zion Aviation
Rates:
Discount rate	5.5%								Option Pricing:
Risk-free rate	3.3%								PV of Cap. Ex. (Yrs. 1-2)
	Scenario: No Real Options								Maturity	6.0
	Start	1	2	3	4	5	6	7	PV of NCF
Cash from Operations		2.0	5.0	6.0	8.3	10.2	12.1	15.6	Risk free rate
minus: Capital Expenditures	3.0	5.8	5.9	2.0	1.2	1.3	1.5	2.0	Volatility	25%
= Net Cash Flow (NCF)									BS calculations:
Terminal Value								8.0	d1	#DIV/0!
PV of NCF									N(d1)	#DIV/0!
	Scenario: Real Options								d2	#DIV/0!
	Start	1	2	3	4	5	6	7	N(d2)	#DIV/0!
Cash from Operations	-	2.0	5.0	6.0	8.3	10.2	12.1	15.6	Price of call	#DIV/0!
minus: Capital Expenditures	3.0			2.0	1.2	1.3	1.5	2.0	Difference:
= Net Cash Flow (NCF)									- Value of Option over PV	#DIV/0!
Terminal Value								8.0	- % of PV	#DIV/0!
PV of NCF
PV of Cap. Ex. (Yrs. 1-2)

Apr 03, 2023

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