Blar i BI Open på forfatter "Foss, Mikkel Nymo"
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Replicating Smart Money - A Derivative-Based Approach
Røksund, Jakob; Foss, Mikkel Nymo (Master thesis, 2020)An option strategy, which writes short-dated out-of-the-money put options on the S&P500, is able to replicate the risk and return characteristics of broad hedge fund indices. Further, by extending the Carhart four factor ...