Bitcoin option pricing with a SETAR-GARCH model
Tak Kuen Siu and Robert J. Elliott
| Year of publication: |
2021
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|---|---|
| Authors: | Siu, Tak Kuen ; Elliott, Robert J. |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 27.2021, 6, p. 564-595
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| Subject: | Bitcoin options | conditional Esscher transform | conditional heteroscedasticity | regime switching | threshold autoregressive models | variance-dependent pricing kernel | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Virtuelle Währung | Virtual currency | Markov-Kette | Markov chain | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Heteroskedastizität | Heteroscedasticity | Autokorrelation | Autocorrelation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2020.1828962 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012484403