Recovering risk aversion from Bitcoin option prices and realized returns

IF 1.2 4区经济学 Q3 ECONOMICS

Applied Economics Letters Pub Date : 2024-07-22 DOI:10.1080/13504851.2024.2381564

Zhiyong Cheng

引用次数: 0

Abstract

This study recovers the Bitcoin option-implied risk aversion by jointly estimating a cross-sectional dataset of option prices and time-series data of realized returns on underlying asset prices. Th...

查看原文本刊更多论文

从比特币期权价格和实现收益中恢复风险规避能力

本研究通过联合估计期权价格的横截面数据集和标的资产价格的已实现收益的时间序列数据，重现了比特币期权隐含的风险规避。这...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Applied Economics Letters ECONOMICS-

CiteScore

2.90

自引率

6.20%

发文量

460

期刊介绍： Applied Economics Letters is a companion journal to Applied Economics and Applied Financial Economics. It publishes short accounts of new original research and encourages discussion of papers previously published in its two companion journals. Letters are reviewed by the Editor, a member of the Editorial Board or another suitable authority. They are generally applied in nature, but may include discussion of method and theoretical formulation. In a change to the format of the Applied Financial Series of journals, from 2009 Applied Financial Economics Letters will be incorporated into its sister journal Applied Economics Letters.