Abstract:
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 option pricing
model applied to Bitcoin is tested. Empirical results indicate that asymmetry is not an
important factor to consider when pricing options on Bitcoin or CRIX, this is consistent
with findings in the literature. In addition, the GARCH option pricing model provides
realistic price discovery within the bid-ask spreads suggested by the market.
