Detecting Jump Risk and Jump-Diffusion Model for Bitcoin Options Pricing and Hedging
In this paper, we conduct a fast calibration in the jump-diffusion model to capture the Bitcoin price dynamics, as well as the behavior of some components affecting the price itself, such as the risk of pitfalls and its ambiguous effect on the evolution of Bitcoin’s price. In addition, in our study...
| الحاوية / القاعدة: | Mathematics |
|---|---|
| المؤلفون الرئيسيون: | , |
| التنسيق: | مقال |
| اللغة: | الإنجليزية |
| منشور في: |
MDPI AG
2021-10-01
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://www.mdpi.com/2227-7390/9/20/2567 |