The exchange traded index option market in South Africa has seen tremendous growth during the last couple of years. The biggest liquidity is in options on the near and middle Alsi future contracts. Alsi futures are listed future contracts on the FTSE/JSE Top40 index, the most important and...

The use of finite difference methods for solving PDEs on a computer goes back almost to the 1950s since its invention. In finance, these methods were introduced in the 1970's after the derivation of the Black-Scholes model. The sophistication of these methods in finance has become a field of...

Can-Do Options are derivative products listed on the JSE's derivative exchanges -- mostly equity derivative products listed on Safex and currency derivative products listed on Yield-X. These products give investors the advantages of listed derivatives with the flexibility of over the counter...

Can-Do Options are derivative products listed on the JSE's derivative exchanges -- mostly equity derivative products listed on Safex and currency derivative products listed on Yield-X. These products give investors the advantages of listed derivatives with the flexibility of "over the counter"...

In turbulent and volatile markets options can be a preferred asset class for protection against adverse market movements. When volatility increases and markets become sparsely traded, it is not always effective to hedge adverse market movements using any option. Options, where the underlying is...

Volatility is a measure of the average yearly changes in the market prices. The high volatility of the oil price has been pivotal in the development of international petroleum exchanges. The low volatility of the gold price is the reason why market participants usually view gold as a wealth...

Financial markets exhibit high levels of volatility. Volatile markets are usually associated with high risks and uncertain investment returns. Financial institutions therefore, usually opt to hedge their investment portfolios against the high volatility using a suitable hedging structure. One...

Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive research in finance, and various models are...

The current method employed by the Johannesburg Stock Exchange (JSE) to determine implied volatility is based on trade data and a linear deterministic approach. The aim of this paper is to construct a market-related arbitrage-free implied volatility surface, by using a quadratic deterministic...