Sökning: "Nicklas Rehnby"

Hittade 2 uppsatser innehållade orden Nicklas Rehnby.

1. 1. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

   Master-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

   Författare :Nicklas Rehnby; [2017]
   Nyckelord :option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

   Sammanfattning : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. LÄS MER

3. 2. Does the Fama-French three-factor model and Carhart four-factor model explain portfolio returns better than CAPM? : - A study performed on the Swedish stock market.

   Uppsats för yrkesexamina på avancerad nivå, Karlstads universitet/Handelshögskolan

   Författare :Nicklas Rehnby; [2016]
   Nyckelord :Fama and French three-factor model; Carhart´s four-factor model; Capital Asset Pricing Model CAPM ; portfolio returns; excess returns; Swedish stock market;

   Sammanfattning : This essay will compare the capital asset pricing model (CAPM), Fama and French threefactor model and Carhart´s four-factor model, to see which of these models that can explain portfolio excess returns best on the Swedish stock market. This thesis will tempt to validate the three and four-factor models because of the limited amount of research done on the Swedish stock market. LÄS MER