Venter, Pierre J.; Maré, Eben - In: Journal of risk and financial management : JRFM 13 (2020) 6/121, pp. 1-15
In this paper, the pricing performance of the generalised autoregressive conditional heteroskedasticity (GARCH) option pricing model is tested when applied to Bitcoin (BTCUSD). In addition, implied volatility indices (30, 60-and 90-days) of BTCUSD and the Cyptocurrency Index (CRIX) are generated...
