3 citations · 6 across the 12 of their papers we have counts for
6 papers · 1 filter
Risk-Adjusted Valuation for Real Option Decisions
Carol Alexander, Xi Chen, Charles Ward
We model investor heterogeneity using different required returns on an investment and evaluate the impact on the valuation of an investment. By assuming no disagreement on the cash…
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…
The Role of Binance in Bitcoin Volatility Transmission
Carol Alexander, Daniel Heck, Andreas Kaeck
We analyse high-frequency realised volatility dynamics and spillovers in the bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main fiat-crypto pair) and tr…
Inverse and Quanto Inverse Options in a Black-Scholes World
Carol Alexander, Ding Chen, Arben Imeraj
Over 90% of exchange trading on crypto options has always been on the Deribit platform. This centralised crypto exchange only lists inverse products because they do not accept fiat…
Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules
Carol Alexander, Michael Coulon, Yang Han +1
Proper scoring rules are commonly applied to quantify the accuracy of distribution forecasts. Given an observation they assign a scalar score to each distribution forecast, with th…
Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading
Carol Alexander, Jun Deng, Bin Zou
We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. We derive a semi-closed form for an optimal hedging strateg…