Univariate and multivariate GARCH models applied to bitcoin futures option pricing
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Date
Authors
Venter, Pierre Johan
Mare, Eben
Journal Title
Journal ISSN
Volume Title
Publisher
MDPI
Abstract
In this paper, the Heston–Nandi futures option pricing model is applied to Bitcoin futures
options. The model prices are compared to market prices to give an indication of the pricing
performance. In addition, a multivariate Bitcoin futures option pricing methodology based on a
multivatiate GARCH model is developed. The empirical results show that a symmetric model is a
better fit when applied to Bitcoin futures returns, and also produces more accurate option prices
compared to market prices for two out of three expiry dates considered.
Description
Keywords
Bitcoin, Futures options, Multivariate, Generalized autoregressive conditional heteroskedasticity (GARCH)
Sustainable Development Goals
Citation
Venter, Pierre J., and
Eben Maré. 2021. Univariate and
Multivariate GARCH Models
Applied to Bitcoin Futures Option
Pricing. Journal of Risk and Financial
Management 14: 261. https://DOI.org/ 10.3390/jrfm14060261.