Derivative & Complex Instrument Valuation
Valuation of warrants, convertible notes and other embedded derivatives using Black-Scholes and binomial lattice models, documented so your auditor can evaluate the inputs and assumptions.
Standards we apply
Who this is for
What we deliver
A process built on dates, not hope
Identify the instrument’s terms
Reset provisions, down-round protection and settlement paths determine which model applies before anything is valued.
Select the model
Black-Scholes for straightforward instruments; a binomial lattice where terms require it.
Value and document
Inputs and assumptions documented in a form your auditor can evaluate on its own.
Deliver to your auditor
The valuation memorandum and supporting schedules handed off in the form an audit review expects.
We plan backward from your deadline
Filing dates, plan-year deadlines and board meetings do not move. Neither does our schedule. Every engagement starts with a written timeline built backward from your date, and we hold the milestones we commit to.
If we prepare it, we cannot audit it
Independence rules do not allow a firm to audit financial statements it prepared. If JV CPA performs your accounting or financial statement preparation, your audit must be performed by a different firm — and we will say so at the first conversation, not the fourth.
Choosing which role we take early is faster and far less expensive than unwinding it later.
Questions we get asked
How do you value warrants and convertible notes?
Depending on the instrument’s terms, using Black-Scholes or a binomial lattice model, with the inputs and assumptions documented so your auditor can evaluate them. Instruments with reset provisions, down-round protection or multiple settlement paths usually require a lattice.
Can you value the instrument and also audit our financial statements?
No. If we perform the valuation as part of your accounting or financial statement preparation, your audit must be performed by a different firm.
Why does the model choice matter?
Black-Scholes assumes a single, fixed exercise path. Instruments with features that change the exercise price or timing — resets, down-round protection, multiple settlement options — violate that assumption, and a lattice model is needed to value them correctly. Using the wrong model is a common source of auditor and SEC comment-letter questions.
Do you also handle the classification question, not just the number?
Yes. Whether an instrument is liability-classified or equity-classified under ASC 815 and ASC 470 is usually the more consequential question, and we address it before we produce a value.
Have an instrument that needs valuing?
Tell us its terms — conversion features, reset provisions, settlement options — and we will tell you which model applies and what the deliverable looks like.
