Matic, Jovanka Lili; Packham, Natalie; Härdle, … - In: Review of Derivatives Research 26 (2023) 1, pp. 91-133
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...