Showing 1 - 10 of 16
Persistent link: https://www.econbiz.de/10013554065
Persistent link: https://www.econbiz.de/10014370619
We acquire a unique dataset of high-frequency traded prices for bitcoin call and put options from the Deribit cryptocurrency derivatives exchange, by 15-minute sampling via the application programming interface. We use these prices to construct a term structure of bitcoin implied volatility...
Persistent link: https://www.econbiz.de/10012849306
Market betas of bitcoin relative to a broad crypto market index vary considerably, depending on the data source and the index selected. Even greater differences are found for ether and other cryptocurrencies. An in-depth exploration of the cause of these discrepancies reveals a long-standing...
Persistent link: https://www.econbiz.de/10012849356
Persistent link: https://www.econbiz.de/10012194860
Persistent link: https://www.econbiz.de/10012392165
Persistent link: https://www.econbiz.de/10012435768
Persistent link: https://www.econbiz.de/10012503289
We analyse minute-level multi-dimensional information flows within and between bitcoin spot and derivatives. We show that perpetual swaps and futures traded on the unregulated exchanges Huobi, OKEx and BitMEX are much the strongest instruments for bitcoin price discovery and we examine potential...
Persistent link: https://www.econbiz.de/10012836055
We analyse robust dynamic delta hedging of bitcoin options using a set of smile-implied and other smile-adjusted deltas that are either model-free, in the sense that they are the same for every scale-invariant stochastic and/or local volatility model, or they are based on simple regime-dependent...
Persistent link: https://www.econbiz.de/10013288907