Bitcoin option pricing: A market attention approach
Bitcoin option pricing: A market attention approach
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发表时间：
2021-07
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通讯作者：
Alvaro Guinea Julia;Alet Roux
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作者：
Alvaro Guinea Julia;Alet Roux
提出了一个考虑市场关注度的比特币价格模型。市场关注度由均值回复的Cox-Ingersoll-Ross过程建模，会影响比特币回报的波动性，但会有一定的延迟。该模型是仿射和听话的，与封闭的公式的条件特征函数的常规和延迟过滤。这导致了半封闭式公式的欧洲看涨和看跌价格。提供了一种最大似然估计过程，以及一种用于改变为风险中性度量的方法。该模型与经典模型和基于注意力的模型进行比较时，测试真实的数据。
A model is proposed for Bitcoin prices that takes into account market attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross processes, affects the volatility of Bitcoin returns, with some delay. The model is affine and tractable, with closed formulae for the conditional characteristic functions with respect to both the conventional and a delayed filtration. This leads to semi-closed formulae for European call and put prices. A maximum likelihood estimation procedure is provided, as well as a method for changing to a risk-neutral measure. The model compares very well against classical and attention-based models when tested on real data.