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

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dc.contributor.author Venter, Pierre Johan
dc.contributor.author Mare, Eben
dc.contributor.author Pindza, Edson
dc.date.accessioned 2020-10-17T06:04:07Z
dc.date.available 2020-10-17T06:04:07Z
dc.date.issued 2020
dc.description.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. en_ZA
dc.description.department Insurance and Actuarial Science en_ZA
dc.description.department Mathematics and Applied Mathematics en_ZA
dc.description.librarian pm2020 en_ZA
dc.description.uri https://www.tandfonline.com/loi/oaef20 en_ZA
dc.identifier.citation Pierre J. Venter, Eben Mare & Edson Pindza (2020) Price discovery in the cryptocurrency option market: A univariate GARCH approach, Cogent Economics and Finance, 8:1, doi: 10.1080/23322039.2020.1803524. en_ZA
dc.identifier.issn 2332-2039 (online)
dc.identifier.other 10.1080/23322039.2020.1803524
dc.identifier.uri http://hdl.handle.net/2263/76521
dc.language.iso en en_ZA
dc.publisher Cogent OA en_ZA
dc.rights © 2020 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY) 4.0 license. en_ZA
dc.subject Option pricing en_ZA
dc.subject Cryptocurrencies en_ZA
dc.subject Volatility surface en_ZA
dc.subject CRIX en_ZA
dc.subject Generalised autoregressive conditional heteroskedasticity (GARCH) en_ZA
dc.subject Cryptocurrency index (CRIX) en_ZA
dc.title Price discovery in the cryptocurrency option market : a univariate GARCH approach en_ZA
dc.type Article en_ZA


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