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Persistent link: https://www.econbiz.de/10011418246
Can shorter maturity European options be statically hedged with longer maturity plain vanilla options? This problem appears for example when analyzing options on forwards in relation to liquid options on the spot underlying. Under mild assumptions on the underlying security price process and on...
Persistent link: https://www.econbiz.de/10013092003
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, which in...
Persistent link: https://www.econbiz.de/10012666345
The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios is infeasible. As a consequence, we consider two extensions of...
Persistent link: https://www.econbiz.de/10012797474
The cryptocurrency 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 class of...
Persistent link: https://www.econbiz.de/10015327886
The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtaining hedge ratios is infeasible. As a consequence, we consider two extensions...
Persistent link: https://www.econbiz.de/10013404761
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...
Persistent link: https://www.econbiz.de/10014351707
Persistent link: https://www.econbiz.de/10014304363
Persistent link: https://www.econbiz.de/10014266383