The optimal valuation of Black Economic Empowerment transactions in South Africa

There is uncertainty about how best to determine the final payoff at maturity of various BEE transactions entered into by a number of South African companies. This thesis attempts to develop a method which will price these transactions accurately based on a sample of transactions entered into between 2004 and 2011. The primary valuation methods which will be used are Real Options Valuations, Risk–Neutral Valuations, Implied Trinomial Tree Valuations and valuations performed using the Black-Scholes-Merton Model. Various amendments to each of these methods are introduced in order to correct for pricing biases inherent in each valuation model.

Grantor dc:publisher.institution

School of Economics

Year dc:date.issued

2013

Author dc:creator

• Nashenda, Natalia Linda Theresia

Advisor dc:contributor.advisor

• Abraham, Haim

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/5756

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/5756