Essays about: "Nicklas Rehnby"
Found 2 essays containing the words Nicklas Rehnby.
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1. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options
University essay from Linköpings universitet/Institutionen för ekonomisk och industriell utvecklingAbstract : 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. READ MORE
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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.
University essay from Karlstads universitet/HandelshögskolanAbstract : 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. READ MORE