In vielen Anwendungen ist es notwendig, die stochastische Schwankungen der maximalen Abweichungen der nichtparametrischen Schätzer von Quantil zu wissen, zB um die verschiedene parametrische Modelle zu überprüfen. Einheitliche Konfidenzbänder sind daher für nichtparametrische Quantil...

The cryptocurrency (CC) market is volatile, non-stationary and non-continuous. This poses unique challenges for pricing and hedging CC options. We study the hedge behaviour and effectiveness for a wide range of models. First, we calibrate market data to SVI-implied volatility surfaces to price...

The cryptocurrency (CC) market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study the hedge behaviour and effectiveness for the...