条件波动和条件非正态下长记忆比特币期权的市场一致性估值

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2025-05-19 DOI:10.1002/fut.22597

Tak Kuen Siu

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引用次数: 0

摘要

本文研究了比特币收益条件波动和条件非正态性对长记忆比特币期权价格的经济影响。比特币期权的无套利价格由市场一致估值和条件Esscher变换决定。提供了基于比特币收益数据的估计模型对期权价格的蒙特卡洛估计。从经济学的角度对结果进行了解释。研究结果对加密货币性质、风险评估和比特币衍生品对冲的经济见解和影响进行了探讨。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non-Normality

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Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non-Normality

This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non-normality of Bitcoin returns. The arbitrage-free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from estimated models based on Bitcoin returns data are provided. Explanations for the results from an economic perspective are provided. Economic insights and implications of the results for the nature of cryptocurrencies, their risk evaluation, and the hedging of Bitcoin's derivatives are explored.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.