论文标题
定价加密货币选项
Pricing Cryptocurrency Options
论文作者
论文摘要
构成新的数字资产类别的加密货币，尤其是比特币（BTC），引起了全球的非凡关注。加密货币/BTC的特征包括高水平的猜测，极端波动和价格不连续性。我们提出了一种基于与随机波动率（SVCJ）模型的随机波动率的定价机制，并将其与Bandi andRenò（2016）的柔性共同模型进行了比较。这两个模型的估计结果证实了跳跃和同伴对通过模拟获得的期权的影响以及对隐含波动曲线的分析。我们表明，相当大的价格上涨与波动性的跳跃相关。我们的研究包括有关定价BTC选项的开创性研究。我们展示了拟议的定价机制如何强调加密货币市场中跳跃的重要性。
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and price discontinuity. We propose a pricing mechanism based on a stochastic volatility with a correlated jump (SVCJ) model and compare it to a flexible co-jump model by Bandi and Renò (2016). The estimation results of both models confirm the impact of jumps and co-jumps on options obtained via simulation and an analysis of the implied volatility curve. We show that a sizeable proportion of price jumps are significantly and contemporaneously anti-correlated with jumps in volatility. Our study comprises pioneering research on pricing BTC options. We show how the proposed pricing mechanism underlines the importance of jumps in cryptocurrency markets.
