Hedging cryptocurrency options

DOI10.1007/S11147-023-09194-6arXiv2112.06807MaRDI QIDQ6154211

Jovanka Lili Matic, Wolfgang Karl Härdle, Natalie Packham

Publication date: 19 March 2024

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.06807

zbMATH Keywords

hedgingbitcoincryptocurrency optionsdigital financevolatile markets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Alternative models for stock price dynamics.
• Generalized autoregressive conditional heteroscedasticity
• Arbitrage-free SVI volatility surfaces
• Risk minimization in stochastic volatility models: model risk and empirical performance
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Model risk of contingent claims
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: Hedging cryptocurrency options