180 citations · 623 across the 15 of their papers we have counts for
4 papers · 1 filter
Cryptocurrency Dynamics: Rodeo or Ascot?
Konstantin Häusler, Wolfgang Karl Härdle
We model the dynamics of the cryptocurrency (CC) asset class via a stochastic volatility with correlated jumps (SVCJ) model with rolling-window parameter estimates. By analyzing th…
Pricing Cryptocurrency Options
Ai Jun Hou, Weining Wang, Cathy Y. H. Chen +1
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC in…
CRIX an index for cryptocurrencies
Simon Trimborn, Wolfgang Karl Härdle
The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its…
Model-driven statistical arbitrage on LETF option markets
Sergey Nasekin, Wolfgang Karl Härdle
In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015). This transformation adjusts the moneyness coordinate of the i…