Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non‐Normality
研究了比特币收益的条件波动率长记忆和条件非正态性对期权价格的经济影响，通过市场一致估值和条件Esscher变换确定无套利价格，并基于比特币收益数据提供蒙特卡洛估计结果。
ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from estimated models based on Bitcoin returns data are provided. Explanations for the results from an economic perspective are provided. Economic insights and implications of the results for the nature of cryptocurrencies, their risk evaluation, and the hedging of Bitcoin's derivatives are explored.