Extracted from text ... Number 52 - Part 5
GTF Brooke and ET Fraser*
Investment Basics: XLII. Options pricing using the Black-Scholes Model
GTF Brooke is a research assistant and ET Fraser is a lecturer at the School of Management Studies, University of Cape Town, Private
Bag, Rondebosch 7700, Republic of South Africa. Email: firstname.lastname@example.org or email@example.com
The authors would like to thank Herman Steyn and Guy Toms of Prescient Investment Management for input and comments.
The Black-Scholes option-pricing model is possibly the most widely taught, and best-known option pricing model in finance today. The
model was first presented in the 1973 ..
Extracted from text ... Number 52 - Part 4
The CAPM in an options pricing framework
Wits Business School, University of the Witwatersrand, PO Box 98, Wits 2050, Republic of South Africa. Email: firstname.lastname@example.org.
The CAPM of Sharpe (1964), Lintner (1965) and Markowitz (1952) provides a parsimonious framework for understanding the risk-return
relationship between securities. It has received (and largely survived) extensive criticism, but despite the theoretical elegance and
pedagogic simplicity, it does not satisfy the day to day realities of fund managers. There are possibly several reasons for this, but two in
particular are examined in this paper; ..
Extracted from text ... Number 52 - Part 3
An estimate of the control premium in South Africa
School of Economics and Finance, Royal Melbourne Institute of Technology, GPO Box 2476V, Melbourne, 3000, Vic., Australia. I would
like to thank two anonymous reviewers, Robert Brooks and Robert Faff for comments on an earlier version of this paper. The usual
disclaimer applies. Email: Sinclair.email@example.com
In a Modigliani-Miller (1958) type world, shares with identical cashflows should trade in the market at the same price. There is a large
and evolving literature (see Shleifer and Vishny 1997 for a survey) that suggests, however, ..
Extracted from text ... Number 52 - Part 2
M Robertson*, C Firer** and D Bradfield***
Identifying and correcting misclassified South African equity unit trusts using style analysis
*School of Management Studies, University of Cape Town, Private Bag, Rondebosch 7700, Republic of South Africa.
** To whom all correspondence should be adressed.
School of Management Studies, University of Cape Town, Private Bag, Rondebosch 7700, Republic of South Africa. Email:
***Department of Statistical Sciences, University of Cape Town, Private Bag, Rondebosch 7700, Republic of South Africa.
To constitute a style, an investment philosophy should be held in common by some group of ..
Extracted from text ... Number 52 - Part 1
N Biekpe* and MJ Moore**
Measuring volatility using bilinear GARCH models
For all correspondence, contact Nicholas Biekpe, Africa Centre for Investment Analysis, University of Stellenbosch, PO Box 610,
Bellville 7535, South Africa. Email: firstname.lastname@example.org
**Queen's School of Management, The Queen's University of Belfast, Northern Ireland.
Although there is now an extensive literature on modelling financial volatility using the ARCH class of models (Engel, 1982; Bollerslev,
1986; Bollerslev, Chou and Kroner, 1992) among others, little attention has been paid to the covariance structure between the lagged
values of independent variables. This structure is always ..