Price discovery in the cryptocurrency option market: A univariate GARCH approach

Price discovery in the cryptocurrency option market: A univariate GARCH approach

In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models are applied to Bitcoin and the Cryptocurrency Index (CRIX). The first model is symmetric and the other takes asymmetric effects into account. Furthermore, the accuracy of the GARCH o...

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Bibliographic Details
Main Authors: Pierre J. Venter, Eben Mare, Edson Pindza
Format: Article
Language:English
Published: Taylor & Francis Group 2020-01-01
Series:Cogent Economics & Finance
Subjects:
garch
option pricing
cryptocurrencies
volatility surface
crix
Online Access:http://dx.doi.org/10.1080/23322039.2020.1803524

Internet

http://dx.doi.org/10.1080/23322039.2020.1803524

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