Cryptocurrencies come with benefits, such as anonymity of payments and positive network effects of user adoption, and transaction risks including unconfirmed transactions, hacks, and frauds. They compete with central-bank-regulated money but consumers may prefer one currency over the other. In...

Cryptocurrencies, especially Bitcoin (BTC), which comprise a new revolutionary asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/ BTC include a high level of speculation, extreme volatility and price discontinuity. In this paper, we propose a...

This paper develops a framework to estimate the probability of default (PD) implied in listed stock options. The underlying option pricing model measures PD as the intensity of the jump diffusion that the underlying stock price becomes zero. We adopt a two stage calibration algorithm to obtain...