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Detecting Jump Risk and Jump-Diffusion Model for Bitcoin Options Pricing and Hedging
16 references·1 citing·48 second hopsampled
Detecting Jump Risk and Jump-Diffusion Model for Bitcoin Options Pricing and Hedging (2021)Detecting Jump Risk and Jump-Diffusion Mo…Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply (2019)Is Bitcoin a Commodity? On pr…Regime changes in Bitcoin GARCH volatility dynamics (2018)Regime changes in Bitcoin GAR…Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin? (2018)Does global economic uncertai…Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests (2012)Identifying Jumps in Financia…Realized jumps on financial markets and predicting credit spreads (2010)Realized jumps on financial m…Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Jumps in Financial Markets: A…APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING (2006)APPROXIMATING GARCH‐JUMP MODE…The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …Non-parametric calibration of jump–diffusion option pricing models (2004)Non-parametric calibration of…Conditional Jump Dynamics in Stock Market Returns (2002)Conditional Jump Dynamics in …A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Jump-Diffusion Processes: Vol…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…A Simplified Jump Process for Common Stock Returns (1983)A Simplified Jump Process for…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Delta hedging bitcoin options with a smile (2023)Delta hedging bitcoin options…Generalized autoregressive conditional heteroskedasticity (1986)Empirical Performance of Alternative Option Pricing Models (1997)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications (2006)Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (2008)A reduced form framework for modeling volatility of speculative prices based on realized variation measures (2010)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Testing for jumps in a discretely observed process (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Modeling financial contagion using mutually exciting jump processes (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Ex Ante Skewness and Expected Stock Returns (2012)News implied volatility and disaster concerns (2016)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)Theory of Rational Option Pricing (1973)Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)LIBOR and swap market models and measures (1997)Time-changed Lévy processes and option pricing (2003)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Evaluating Interval Forecasts (1998)Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models (2018)Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis (2019)The volatility of Bitcoin and its role as a medium of exchange and a store of value (2021)Multivariate Simultaneous Generalized ARCH (1995)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Measuring Economic Policy Uncertainty* (2016)Does gold or Bitcoin hedge economic policy uncertainty? (2019)Crude oil price and cryptocurrencies: Evidence of volatility connectedness and hedging strategy (2020)Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? (2021)The Behavior of Stock-Market Prices (1965)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Robust numerical methods for contingent claims under jump diffusion processes (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Brownian Motion and Stochastic Calculus (2007)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)Specification Tests in Econometrics (1978)Model Specification and Risk Premia: Evidence from Futures Options (2007)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Numerical solution of stochastic differential equations (2016)Finance and Economics Discussion Series (2022)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 2005The Relative Contribution of Jumps to Total Price Variance890 cited
  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
  • 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing460 cited
  • 2002Conditional Jump Dynamics in Stock Market Returns358 cited
  • 2018Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?318 cited
  • 2018Regime changes in Bitcoin GARCH volatility dynamics298 cited
  • 1983A Simplified Jump Process for Common Stock Returns279 cited
  • 2010Realized jumps on financial markets and predicting credit spreads220 cited
  • 2004Non-parametric calibration of jump–diffusion option pricing models212 cited
  • 2019Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply158 cited
  • 2012Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests

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140 cited
  • 2006APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING118 cited
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    • 2023Delta hedging bitcoin options with a smile20 cited