Price dynamics and volatility jumps in bitcoin options  

作　　者：Kuo Shing Chen J.Jimmy Yang 

机构地区：[1]Department of Accounting,Ming Chuan University,250 Zhong Shan N.Rd.,Sec.5,Taipei,111,Taiwan [2]School of Accounting,Finance,and Information Systems,College of Business,Oregon State University,443 Austin Hall,Corvallis,OR,97331,USA

出　　处：《Financial Innovation》2024年第1期1299-1327,共29页金融创新(英文)

摘　　要：In the FinTech era,we contribute to the literature by studying the pricing of Bitcoin options,which is timely and important given that both Nasdaq and the CME Group have started to launch a variety of Bitcoin derivatives.We find pricing errors in the presence of market smiles in Bitcoin options,especially for short-maturity ones.Long-maturity options display more of a“smirk”than a smile.Additionally,the ARJI-EGARCH model provides a better overall fit for the pricing of Bitcoin options than the other ARJI-GARCH type models.We also demonstrate that the ARJI-GARCH model can provide more precise pricing of Bitcoin and its options than the SVCJ model in term of the goodness-of-fit in forecasting.Allowing for jumps is crucial for modeling Bitcoin options as we find evidence of time-varying jumps.Our empirical results demonstrate that the realized jump variation can describe the volatility behavior and capture the jump risk dynamics in Bitcoin and its options.

关 键 词：ARJl-GARCH models Blockchain Bitcoin options FinTech 

分 类 号：F22[经济管理—国民经济]