Univariate and multivariate GARCH models applied to Bitcoin futures option pricing

Pierre J. Venter and Eben Maré

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.

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Year of publication:	2021
Authors:	Venter, Pierre J. ; Maré, E.
Published in:	Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 6, Art.-No. 261, p. 1-14
Subject:	Bitcoin \| futures options \| GARCH \| multivariate \| ARCH-Modell \| ARCH model \| Optionspreistheorie \| Option pricing theory \| Virtuelle Währung \| Virtual currency \| Volatilität \| Volatility \| Derivat \| Derivative \| Multivariate Analyse \| Multivariate analysis \| Zeitreihenanalyse \| Time series analysis

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/jrfm14060261 [DOI] hdl:10419/239677 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

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