This paper investigates whether there is any ‘hidden value' other than the calculated one using traditional valuation techniques (TVTs). In order to extract the hidden value, the real option technique (ROT) is used for valuation purposes. Using ROT, this empirical study confirms that MTN Group...

This empirical study explores Can-Do structured products engineered by Johannesburg Securities Exchange (JSE) of South Africa around June 2006. However, as time evolved, different types of Can-Do structured products were developed. Can-Do structured product, called XFWQ, is used as an example in...

Most empirical studies on arbitrage opportunities tend to focus on arbitrage resulting from two “securities”, normally option value in relation to its underlying assets. However, in this empirical study it is illustrated that by writing “different” option values the “amount” of...

The empirical study was undertaken to critically analyse if there was any other value other than the calculated market value during the time of the merger of the two property funds listed on the Johannesburg Securities Exchange. In doing so, the real options technique is used, because according...

The empirical study analyzes derivative hedging strategies that can be implemented for an investor who has been holding SASOL (Pty) Ltd.'s stocks before February 1999, in relation to that of JSE Top 40 Index. Moreover, as the relationship between SASOL's stock and the JSE Top 40 Index changes,...

The option side of Put-Call Parity has been explored by prior studies but its algebraic side has not been illustrated before. This article converts Put-Call Parity parameters into algebraic ones in order to derive transformed arbitrage-free formula. Interestingly, inverse Laplace transform and...

This article illustrates concurrent values emanating from mergers in the REIT industry. Prior studies on REIT mergers focused only single merger outcome(s); thereby, ignoring other existing concurrent values. Concurrent values are disentangled using game theory. Results illustrate embedded...

In volatile economic environment, it is imperative for the airlines to implement appropriate derivative hedging strategies. In non-volatile economic environment, there seems to be different views that support non-implementation and implementation of derivative hedging strategies within the...

This study explores volatility smiles when stock market information is lagged, specifically in the REIT industry. A usual requirement is that REITs can only disseminate information relating to their property valuations once per year; therefore, this leads to the lagging effect. Within the...

This article models mergers as exchange options where acquirers offer stocks and/or cash to target firms in exchange of acquiring some shareholding in target firms. Mergers analysed in this article happen between homogeneous entities. The B-S and Margrabe models are used to price cash and stocks...