Extracted from text ... Number 48 - Part 5
Investment Basics: XXXVIII. Options pricing using a binomial lattice
The use of binomial trees in the numerical valuation of options was first proposed by Cox, Ross and Rubinstein (1979). Although not as
instantaneously recognised as the Black-Scholes (1973) options pricing model, binomial lattices are more easily generalisable and they are
often able to handle a variety of conditions for which the former model cannot be applied.
The binomial model uses a discrete time framework to trace the evolution of the key variable upon which the claim of interest is
contingent. For ..
Extracted from text ... Number 48 - Part 4
M Sandler and C Firer
Finance research in South Africa: 1949-1997
This paper is a follow up to a study of the research output of South African finance academics, which extended from the Second World War
to the end of 1992. The past five years have seen an increase in attendance and submission of papers to the Southern African Finance
Association Annual Conference, and it was felt that a review of publication output during this period would support the premise that
academics in this field are increasing their research output.
In addition feedback ..
Extracted from text ... Number 48 - Part 3
Share price reaction to announcements of equity financing by companies listed on the Johannesburg Stock
Market reaction to the announcement of new equity capital issues by seasoned companies has been generally unfavourable. Previous
research documents a decrease by about 3% to 4% in the share prices of industrial firms during the two-day announcement period. Such
pricing behaviour has led to the reliance of firms on internally generated funds as their chief source of equity financing and their
corresponding reluctance to issue equity shares. Indeed, some authors have characterized this phenomenon ..
Extracted from text ... Number 48 - Part 2
EG van den Berg
Securitisation and asset-backed securities in South Africa
Part two - Rolling the securitisation dice: mathematical logistics pertaining to securitisation in S.A.
In crystallising the understanding of the concepts of securitisation, it is necessary to look at the mathematics involved when costing
securitisation and pricing asset-backed securities. These issues are explained here using mortgage securitisation as the example. Mortgage
securitisation was the base from which securitisation developed internationally. The objective of this article is to illustrate the costing and
pricing mechanics involved in securitisation, with the aim of broadening the ..
Extracted from text ... Number 48 - Part 1
R Wandmacher and D Bradfield*
On implied volatilities in the South African derivatives market
Although options on commodities have been in existence as trading instruments since the middle ages, the year 1973 signified the turning
point for option markets world-wide. In 1973, for the first time, standardized option contracts were traded on the new Chicago Board
Options Exchange (CBOE). The contracts traded on the CBOE were structured so that option contracts were standardized in their strike
price and expiration dates. The South African Futures Exchange (SAFEX) was established in 1990 with only futures ..