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Pricing Cryptocurrency Options: The Case of CRIX and Bitcoin · Study

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PreprintPricing Cryptocurrency Options: The Case of CRIX and Bitcoin

Cathy Yi‐Hsuan Chen2018

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Preprintgreen2018

Pricing Cryptocurrency Options: The Case of CRIX and Bitcoin

Cathy Yi‐Hsuan Chen · Ai Jun Hou

28 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1985Continuous Auctions and Insider Trading 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1990Noise Trader Risk in Financial Markets 1976Option pricing when underlying stock returns are discontinuous 1993Measuring and Testing the Impact of News on Volatility 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options

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2017Investing with Cryptocurrencies - A Liquidity Constrained Investment Approach

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Year2018

Typepreprint

Published2018-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.3159130

openalex_workW2901838701

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