2 papers
q-fin.GN2021
Net Buying Pressure and the Information in Bitcoin Option Trades
Carol Alexander, Jun Deng, Jianfen Feng +1
How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the limits-to-arbitrage hypothesis about the market…
q-fin.RM2017
An Explicit Default Contagion Model and Its Application to Credit Derivatives Pricing
Dianfa Chen, Jun Deng, Jianfen Feng +1
We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov…