文章基本信息

标题：Pricing Bitcoin under Double Exponential Jump-Diffusion Model with Asymmetric Jumps Stochastic Volatility
本地全文：下载
作者：Ndeye Fatou Sene ; Mamadou Abdoulaye Konte ; Jane Aduda 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2021
卷号：11
期号：2
页码：313-330
DOI：10.4236/jmf.2021.112018
语种：English
出版社：Scientific Research Publishing
摘要：The objective of this study is, to show the importance of incorporating jumps in both returns and volatility dynamics for Bitcoin. For that purpose, we introduce the Double Exponential Jump-Diffusion model with Stochastic Volatility (DEJDSVJ) that contains asymmetric jumps. The use of the Markov Chain Monte Carlo methods for estimation has proved the meaningful presence of jumps in Bitcoin price and volatility. Moreover, based on the Bitcoin options market, a comparison between the underlying model, the Double Exponential Jump Diffusion model (DEJD) with Stochastic Volatility (no Jumps) and the Stochastic Volatility (SV) shows the goodness of the DEJDSVJ model’s calibration over others for pricing Bitcoin options.
关键词：Bitcoin;Double Exponential Jump-Diffusion;Stochastic Volatility;Markov Chain Monte Carlo