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

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

GARCH Option Pricing: a Semiparametric Approach

Option pricing based on GARCH models is typically obtained under the assumption that the random innovations are standard normal (normal GARCH models). However, these models fail to capture the skewness and the leptokurtosis in financial data. We propose a new method to compute option prices using a non-parametric density estimator for the distribution of the driving noise. We investigate the pr...

متن کامل

Assessing the Exchange Rate Fluctuation on Tehrans Stock Market Price: A GARCH Application

This paper empirically investigates the exchange rate effects of Iranian Rial against Dollar (Rial vs.US) on stock prices in Iran. The sample period for the study has been taken from March 20, 2004 to March 20, 2010 using daily nominal exchange rate of Rial /us and daily closing values of Tehran Stock Exchange. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model has been use...

متن کامل

Convergence Speed of GARCH Option Price to Diffusion

It is well known that as the time interval between two consecutive observations shrinks to zero, a properly constructed GARCH model will weakly converge to a bivariate diffusion. Naturally the European option price under the GARCH model will also converge to its bivariate diffusion counterpart. This paper investigates the convergence speed of the GARCH option price. We show that the European op...

متن کامل

Price Discovery in the European Bond Market

What is a benchmark bond? We provide a formal theoretical treatment of this concept and derive its implications. We describe a rich but little used econometric technique for identifying the benchmark that is congruent with our theoretical framework. We apply this to the natural experiment that occurred when benchmark status was contested in the European bond market following the introduction of...

متن کامل

Market Microstructure and Price Discovery

The design of this study is to investigate the evolution of a stochastic price process consequent to discrete processes of bids and offers in a market microstructure setting. Under a set of flexible assumptions about agent preferences, we generate a price process to compare with observation. Specifically, we allow for both rational and irrational economic behavior, abstracting the inquiry from ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Cogent Economics & Finance

سال: 2020

ISSN: 2332-2039

DOI: 10.1080/23322039.2020.1803524