Pricing Kernels inferred from Bitcoin Options
dc.contributor.author | Winkel, Julian | |
dc.date.accessioned | 2021-04-13T08:25:09Z | |
dc.date.available | 2021-04-13T08:25:09Z | |
dc.date.issued | 2021-04-13 | none |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/23372 | |
dc.description.abstract | Unter Verwendung eines neuen Datensatzes von Deribit, einer der größten Bitcoin Derivate Börsen, werden Bitcoin Pricing Kernel berechnet. Diese ermöglichen die arbitragefreie Bepreisung neuer Instrumente. State Price Densities werden mit Rookleys Methode geschätzt. Der zugrundeliegende Bitcoin Asset Prozess wird als ein SVCJ Modell betrachtet. Die geschätzten Pricing Kernel werden in einem forminvarianten Kernel zusammengefasst. Mit der Struktur der Pricing Kernel werden Marktineffizienzen gefunden, denen mit einer simulierten Handelsstrategie entgegengewirkt werden kann. | ger |
dc.description.abstract | Bitcoin Pricing Kernels are inferred using a novel data set from Deribit, one of the largest Bitcoin derivatives exchanges. This enables arbitrage-free pricing of various instruments. State Price Densities are estimated with Rookley’s method. The underlying asset process is viewed through the lens of a Stochastic Volatility with Correlated Jumps (SVCJ) framework. Shape invariant pricing kernels are reported. Market inefficiencies are assessed based on the shape of the pricing kernels. A trading strategy that exploits these inefficiencies is evaluated. | eng |
dc.language.iso | eng | none |
dc.publisher | Humboldt-Universität zu Berlin | |
dc.rights | (CC BY-NC-ND 4.0) Attribution-NonCommercial-NoDerivatives 4.0 International | ger |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | |
dc.subject | Stochastischer Diskontfaktor | ger |
dc.subject | Bitcoin | ger |
dc.subject | Bitcoin Derivate | ger |
dc.subject | Crypto Derivate | ger |
dc.subject | Deribit | ger |
dc.subject | Pricing Kernel | eng |
dc.subject | Stochastic Discount Factor | eng |
dc.subject | Bitcoin | eng |
dc.subject | SVCJ | eng |
dc.subject | Stochastic Volatility with Correlated Jumps | eng |
dc.subject | Bitcoin Derivative | eng |
dc.subject | Bitcoin Option | eng |
dc.subject | Crypto | eng |
dc.subject | Crypto Derivative | eng |
dc.subject | Crypto Option | eng |
dc.subject | Pricing Bitcoin | eng |
dc.subject | Shape Invariant Model | eng |
dc.subject | Deribit | eng |
dc.subject.ddc | 332 Finanzwirtschaft | none |
dc.subject.ddc | 519 Wahrscheinlichkeiten und angewandte Mathematik | none |
dc.title | Pricing Kernels inferred from Bitcoin Options | none |
dc.type | masterThesis | |
dc.identifier.urn | urn:nbn:de:kobv:11-110-18452/23372-5 | |
dc.identifier.doi | http://dx.doi.org/10.18452/22566 | |
dc.date.accepted | 2021-02-19 | |
dc.contributor.referee | Härdle, Wolfgang Karl | |
dc.contributor.referee | Lopez Cabrera, Brenda | |
local.edoc.pages | 49 | none |
local.edoc.type-name | Masterarbeit | |
bua.department | Wirtschaftswissenschaftliche Fakultät | none |