MBA & MM Theses

Permanent URI for this collectionhttps://wiredspace.wits.ac.za/handle/10539/9084

For information on accessing MBA & MM Theses content please contact Khomotso Chipu via email : Khomotso Chipu or Tel(W) : 011 717 3638
Alternatively contact Patience Mpitsa via email : Patience Mpitsa or Tel (W) : 011 717 3635

Browse

Filters

20112

Settings

Subject: search.filters.subject.Options

Search Results

Now showing 1 - 2 of 2
  • Thumbnail Image
    Item
    The Performance of Standard
    (2011-04-13) Harms, Philip
    The performance of the Yield Enhanced Security (YES) and the Yield Enhanced Security Plus (Yes-Plus) offered in South Africa by Standard Corporate and Merchant Bank was modelled over a ten-year period. Through combinations of put and call options on certain shares an investor stands to gain superior returns during periods of market consolidation. Such synthetic instruments are new to the South African market, and have yet to be the subject of extensive study. Daily closing share prices were collected over a ten-year period. A model simulating the instrument’s performance was built using Microsoft Excel. It was found that the YES outperformed the Yes-Plus and conventional share investment, both in terms of absolute, and risk-adjusted returns.
  • Thumbnail Image
    Item
    PRICING OF SINGLE STOCK FUTURES OPTIONS IN SOUTH AFRICA
    (2011-03-25) Cameron, Brian
    "JSE tops all single stock futures markets" (Business Report, July 13, 2007). The Johannesburg Securities Exchange's (JSE) single stock futures market is the largest in the world. This research investigates the forecasting abilities of implied volatility models for South African single stock future options and warrants. Furthermore, the pricing premiums between the two derivative instruments are investigated, as this presents a potential arbitrage opportunity for the market makers of the warrants. Historical volatiity is used as a comparative forecast method to the implied models. The calculated historical and implied volatilities are compared retrospectively to the realised volatility to ascertain which forecasting methodology is superior. Inter-bank implied volatility for single stock futures options is compared to implied volatility for warrants with the same underlying shares to determine pricing premiums. The simple historical volatility model is shown to be a better forecast of realised volatility for both derivatives. Warrants are charged at a significantly higher premium than what the market makers, amongst themselves, are willing to pay for the same underlying shares with single stock futures options.