IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v22y2022i11p2079-2091.html
   My bibliography  Save this article

Bitcoin: jumps, convenience yields, and option prices

Author

Listed:
  • Jimmy E. Hilliard
  • Julie T. D. Ngo

Abstract

We investigate Bitcoin pricing characteristics and find evidence of jumps and positive convenience yield. We develop a theoretical jump diffusion model for options on spots and use simulations to evaluate non-linear parameter estimates. Data from the Deribit exchange is used to compare the performance of the jump diffusion models with Practitioner Black–Scholes models. Using Diebold–Marino statistics and standard error metrics, we find that the jump diffusion models significantly outperform Practitioner Black–Scholes models. We conclude that Bitcoin behaves more like a commodity than a currency.

Suggested Citation

  • Jimmy E. Hilliard & Julie T. D. Ngo, 2022. "Bitcoin: jumps, convenience yields, and option prices," Quantitative Finance, Taylor & Francis Journals, vol. 22(11), pages 2079-2091, November.
    • Handle: RePEc:taf:quantf:v:22:y:2022:i:11:p:2079-2091
    DOI: 10.1080/14697688.2022.2109989
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2022.2109989
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697688.2022.2109989?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bibi, Samuele, 2023. "Money in the time of crypto," Research in International Business and Finance, Elsevier, vol. 65(C).
    2. Boyi Li & Weixuan Xia, 2024. "Crypto Inverse-Power Options and Fractional Stochastic Volatility," Papers 2403.16006, arXiv.org.
    3. Kara, Abdullah & van Oosterom, Peter & Kathmann, Ruud & Lemmen, Christiaan, 2023. "Visualisation and dissemination of 3D valuation units and groups – An LADM valuation information compliant prototype," Land Use Policy, Elsevier, vol. 132(C).
    4. Bibi, Samuele & Canelli, Rosa, 2023. "The interpretation of CBDC within an endogenous money framework," Research in International Business and Finance, Elsevier, vol. 65(C).
    5. Guizhou Wang & Kjell Hausken, 2023. "Comparing Growth Models with Other Investment Methods," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 12(1), pages 1-1.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:22:y:2022:i:11:p:2079-2091. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.