| Autor: |
Hou, Ai Jun, Wang, Weining, Chen, Cathy Y. H., Härdle, Wolfgang Karl |
| Rok vydání: |
2020 |
| Předmět: |
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| Zdroj: |
Journal of Financial Econometrics, Volume 18, Issue 2, Spring 2020, Pages 250 to 279 |
| Druh dokumentu: |
Working Paper |
| DOI: |
10.1093/jjfinec/nbaa006 |
| Popis: |
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and price discontinuity. We propose a pricing mechanism based on a stochastic volatility with a correlated jump (SVCJ) model and compare it to a flexible co-jump model by Bandi and Ren\`o (2016). The estimation results of both models confirm the impact of jumps and co-jumps on options obtained via simulation and an analysis of the implied volatility curve. We show that a sizeable proportion of price jumps are significantly and contemporaneously anti-correlated with jumps in volatility. Our study comprises pioneering research on pricing BTC options. We show how the proposed pricing mechanism underlines the importance of jumps in cryptocurrency markets. |
| Databáze: |
arXiv |
| Externí odkaz: |
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