Zobrazeno 1 - 10
of 28
pro vyhledávání: '"Tumellano Sebehela"'
Autor:
Katlego Kola, Tumellano Sebehela
Publikováno v:
Review of Pacific Basin Financial Markets and Policies. 25
The aim of this paper is to shed new light on hedging discrete volatilities, in particular when using the generalized autoregressive conditional heteroskedasticity (thereafter GARCH) model. Despite its elegance, GARCH does not account for (i) correla
Autor:
Gianluca Marcato, Tumellano Sebehela
The synchronized relationship between financial and fundamental prices has been topical for years now. It seems that option pricing theory has not been used to disentangle that relationship between two prices during merger and acquisition (M&A) activ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1597ed8dc363e9907ef0f7c43bd02abd
Autor:
Tumellano Sebehela
Publikováno v:
Review of Pacific Basin Financial Markets and Policies. 24
The interdependence of options is common among compound options. Moreover, this interconnectedness is synonymous with probability theory-how a set of axioms are treated. The conditionality, where one option value is dependent on another option, has s
Publikováno v:
The North American Journal of Economics and Finance. 46:151-165
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
Autor:
Tumellano Sebehela, Katlego Kola
Studies on indexed volatility spillovers are unique because indices encompass more information than other parameters used in illustrating volatility movements. Further, indices encompass most of the constituents listed on different stock exchanges ar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::96906beae33179111089ae89cbacac5f
https://doi.org/10.5772/intechopen.90240
https://doi.org/10.5772/intechopen.90240
Autor:
Tumellano Sebehela
Publikováno v:
Review of Pacific Basin Financial Markets and Policies. 24:2150025
The stock jumps of the underlying assets underpinning the Margrabe options have been studied by Cheang and Chiarella [Cheang, GH and Chiarella C (2011). Exchange options under jump-diffusion dynamics. Applied Mathematical Finance, 18(3), 245–276],
Autor:
Tumellano Sebehela
Publikováno v:
Journal of Economics and Business. 81:1-20
This paper explores benefits of debt and equity in financing REIT acquisitions within the OPT framework. The Margrabe formula is altered in order to incorporate debt and equity. Scale invariance illustrates that debt and equity funding in REIT M&A in
Autor:
Tumellano Sebehela
Publikováno v:
SSRN Electronic Journal.
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.
Autor:
Tumellano Sebehela
Publikováno v:
SSRN Electronic Journal.
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