IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v33y2026i4p537-541.html

Recovering risk aversion from Bitcoin option prices and realized returns

Author

Listed:
  • Zhiyong Cheng

Abstract

This study recovers the Bitcoin option-implied risk aversion by jointly estimating a cross-sectional dataset of option prices and time-series data of realized returns on underlying asset prices. The empirical analysis of Bitcoin options on Deribit shows that the risk aversion function exhibits a peak shape, with the level of implied risk aversion of Bitcoin options ranging from $ - 0.2$−0.2 to 0.05, which is significantly lower than that of the traditional options market; furthermore, maturity affects the level of option-implied risk aversion, with shorter maturity implying higher risk-aversion levels. Moreover, our research indicates that after halving of Bitcoin, investors’ risk aversion function becomes higher and steeper than before.

Suggested Citation

  • Zhiyong Cheng, 2026. "Recovering risk aversion from Bitcoin option prices and realized returns," Applied Economics Letters, Taylor & Francis Journals, vol. 33(4), pages 537-541, February.
    • Handle: RePEc:taf:apeclt:v:33:y:2026:i:4:p:537-541
    DOI: 10.1080/13504851.2024.2381564
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2024.2381564
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2024.2381564?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

    for a different version of it.

    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:apeclt:v:33:y:2026:i:4:p:537-541. 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/RAEL20 .

    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.