Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non‐Normality
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DOI: 10.1002/fut.22597
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… read more here.
Keywords: volatility conditional; bitcoin options; bitcoin; memory conditional ... See more keywords