Bitcoin: jumps, convenience yields, and option prices

References

• Amin, K.I. and Jarrow, R.A., Pricing foreign currency options under stochastic interest rates. J. Int. Money Finance, 1991, 10(3), 310–329.
   Web of Science ®Google Scholar
• Athey, S., Parashkevov, I., Sarukkai, V. and Xia, J., Bitcoin pricing, adoption, and usage: Theory and evidence. Working paper, Stanford Graduate School of Business, 2016.
   Google Scholar
• Bakshi, G., Cao, C. and Chen, Z., Empirical performance of alternative option pricing models. J. Finance, 1997, 52(5), 2003–2049.
   Web of Science ®Google Scholar
• Ball, C.A. and Torous, W.N., On jumps in common stock prices and their impact on call option pricing. J. Finance, 1985, 40, 155–173.
   Web of Science ®Google Scholar
• Barth, J.R., Herath, H.S., Herath, T.C. and Xu, P., Cryptocurrency valuation and ethics: A text analytic approach. J. Manag. Anal., 2020, 7(3), 367–388.
   Google Scholar
• Bates, D.S., The crash of 87: Was it expected? The evidence from options markets. J. Finance, 1991, 46(3), 1009–1044.
   Web of Science ®Google Scholar
• Bates, D.S., Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options. Rev. Financ. Stud., 1996, 9(1), 69–107.
   Web of Science ®Google Scholar
• Baur, D.G. and Dimpfl, T., Price discovery in bitcoin spot or futures?. J. Futures Mark., 2019, 39, 803–817.
   Web of Science ®Google Scholar
• Baur, D.G., Hong, K. and Lee, A.D., Bitcoin: Medium of exchange or speculative assets?. J. Int. Financ. Mark. Inst. Money, 2018, 54, 177–189.
   Web of Science ®Google Scholar
• Biais, B., Bisiere, C., Bouvard, M., Casamatta, C. and Menkveld, A.J., Equilibrium bitcoin pricing. Available at SSRN 3261063. 2020.
   Google Scholar
• Bianchi, D., Cryptocurrencies as an asset class? An empirical assessment. J. Altern. Invest., 2020, 23(2), 162–179.
   Web of Science ®Google Scholar
• Böhme, R., Christin, N., Edelman, B. and Moore, T., Bitcoin: Economics, technology, and governance. J. Econ. Perspect., 2015, 29(2), 213–238.
   Web of Science ®Google Scholar
• Borri, N., Conditional tail-risk in cryptocurrency markets. J. Empir. Finance, 2019, 50, 1–19.
   Web of Science ®Google Scholar
• Bouri, E., Molnár, P., Azzi, G., Roubaud, D. and Hagfors, L.I., On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?. Finance Res. Lett., 2017, 20, 192–198.
   Web of Science ®Google Scholar
• Cao, M. and Celik, B., Valuation of Bitcoin options. J. Futures Mark., 2021, 1–20. doi:10.1002/fut.22214
   Web of Science ®Google Scholar
• Chaim, P. and Laurini, M.P., Volatility and return jumps in bitcoin. Econ. Lett., 2018, 173, 158–163.
   Web of Science ®Google Scholar
• Chaim, P. and Laurini, M.P., Is Bitcoin a bubble?. Phys. A Stat. Mech. Appl., 2019, 517, 222–232.
   Google Scholar
• Cheah, E.T. and Fry, J., Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Econ. Lett., 2015, 130, 32–36.
   Web of Science ®Google Scholar
• Cheung, A., Roca, E. and Su, J.J., Crypto-currency bubbles: An application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices. Appl. Econ., 2015, 47(23), 2348–2358.
   Web of Science ®Google Scholar
• Chiu, J. and Koeppl, T., The economics of cryptocurrency—Bitcoin and beyond. Working Paper, Queen's University, 2017.
   Google Scholar
• Cong, L.W., Li, Y. and Wang, N., Token-based platform finance. Fisher College of Business Working Paper, (2019-03), p. 028, 2020.
   Google Scholar
• Corbet, S., Lucey, B. and Yarovaya, L., Datestamping the Bitcoin and Ethereum bubbles. Finance Res. Lett., 2018, 26, 81–88.
   Web of Science ®Google Scholar
• Cretarola, A. and Figà-Talamanca, G., Detecting bubbles in Bitcoin price dynamics via market exuberance. Ann. Oper. Res., 2021, 299(1–2), 459–479.
   Web of Science ®Google Scholar
• Cretarola, A., Figà-Talamanca, G. and Patacca, M., Market attention and Bitcoin price modeling: Theory, estimation and option pricing. Decis. Econ. Finance, 2020, 43(1), 187–228.
   Web of Science ®Google Scholar
• Detzel, A., Liu, H., Strauss, J., Zhou, G. and Zhu, Y., Learning and predictability via technical analysis: Evidence from Bitcoin and stocks with hard-to-value fundamentals. Financ. Manag., 2020, doi:10.1111/fima.12310
   Web of Science ®Google Scholar
• Diebold, F.X. and Mariano, R.S., Comparing predictive accuracy. J. Bus. Econ. Stat., 1995, 13, 252–263.
   Web of Science ®Google Scholar
• Dyhrberg, A.H., Bitcoin, gold and the dollar—A GARCH volatility analysis. Finance Res. Lett., 2016, 16, 85–92.
   Web of Science ®Google Scholar
• Dwyer, G.P., The economics of Bitcoin and similar private digital currencies. J. Financ. Stab., 2015, 17, 81–91.
   Web of Science ®Google Scholar
• Evans, D.S., Economic aspects of Bitcoin and other decentralized public-ledger currency platforms. University of Chicago Coase-Sandor Institute for Law & Economics Research Paper, 685, 2014.
   Google Scholar
• Foley, S., Karlsen, J.R. and Putniņš, T.J., Sex, drugs, and bitcoin: How much illegal activity is financed through cryptocurrencies?. Rev. Financ. Stud., 2019, 32(5), 1798–1853.
   Web of Science ®Google Scholar
• Gibson, R. and Schwartz, E., Stochastic convenience yield and the pricing of oil contingent claims. J. Finance, 1990, 45(3), 959–976. Papers and Proceedings
   Web of Science ®Google Scholar
• Gronwald, M., Is Bitcoin a commodity? on price jumps, demand shocks, and certainty of supply. J. Int. Money. Finance, 2019, 97, 86–92.
   Web of Science ®Google Scholar
• Hafner, C.M., Testing for bubbles in cryptocurrencies with time-varying volatility. J. Financ. Econom., 2020, 18(2), 233–249.
   Web of Science ®Google Scholar
• He, C., Kennedy, J.S., Coleman, T.F., Forsyth, P.A., Li, Y. and Vetzal, K.R., Calibration and hedging under jump-diffusion. Rev. Deriv. Res., 2006, 9, 1–35.
   Google Scholar
• Hilliard, J.E. and Hilliard, J., Option pricing under short-lived arbitrage: Theory and tests. Quant. Finance, 2017, 17(11), 1661–1681.
   Web of Science ®Google Scholar
• Hou, A.J., Wang, W., Chen, C.Y. and Härdle, W.K., Pricing cryptocurrency options. J. Financ. Econom., 2020, 18(2), 250–279.
   Web of Science ®Google Scholar
• Jo, H., Park, H. and Shefrin, H., Bitcoin and sentiment. J. Futures Mark., 2020, 40, 1861–1879.
   Web of Science ®Google Scholar
• Jorion, P., On jump processes in the foreign exchange and stock markets. Rev. Financ. Stud., 1988, 1, 427–445.
   Web of Science ®Google Scholar
• Kang, N. and Kim, J., An empirical analysis of Bitcoin price jump risk. Sustainability, 2019, 11(7), 2012.
   Web of Science ®Google Scholar
• Kang, H.J., Lee, S.G. and Park, S.Y, Information efficiency in the cryptocurrency market: The efficient-market hypothesis. J. Comput. Inf. Syst., 2022, 62(3), 622–631.
   Web of Science ®Google Scholar
• Kim, S.T., Is it worth to hold bitcoin?. Finance Res. Lett., 2021, doi:10.1016/j.frl.2021.102090
   Web of Science ®Google Scholar
• Kyriazis, N., Papadamou, S. and Corbet, S, A systematic review of the bubble dynamics of cryptocurrency prices. Res. Int. Bus. Finance, 2020, 54, Article ID 101254.
   Web of Science ®Google Scholar
• Krückeberg, S. and Scholz, P., Decentralized efficiency? Arbitrage in bitcoin markets. Financ. Anal. J., 2020, 76(3), 135–152.
   Web of Science ®Google Scholar
• Krueckeberg, S. and Scholz, P., Cryptocurrencies as an asset class. In Cryptofinance and Mechanisms of Exchange, edited by S. Goutte, K. Guesmi, and S. Saadi, pp. 1–28, 2019 (Springer: Cham).
   Google Scholar
• Li, L., Arab, A., Liu, J., Liu, J. and Han, Z., Bitcoin options pricing using LSTM-based prediction model and blockchain statistics. In 2019 IEEE International Conference on Blockchain (Blockchain), pp. 67–74. IEEE, 2019a.
   Google Scholar
• Li, Z.Z., Tao, R., Su, C.W. and Lobonţ, O.R., Does Bitcoin bubble burst?. Qual. Quant., 2019b, 53(1), 91–105.
   Google Scholar
• Liu, Y. and Tsyvinski, A., Risks and returns of cryptocurrency. Working paper, National Bureau of Economic Research (No. w24877), 2018.
   Google Scholar
• Makarov, I. and Schoar, A., Trading and arbitrage in cryptocurrency markets. J. Financ. Econ., 2020, 135(2), 293–319.
   Web of Science ®Google Scholar
• Manahov, V. and Urquhart, A., The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets. Int. Rev. Financ. Anal., 2021, 73, Article ID 101629.
   Google Scholar
• Merton, R.C., Option pricing when underlying stock returns are discontinuous. J. Financ. Econ., 1976, 3(1–2), 125–144.
   Web of Science ®Google Scholar
• Miltersen, K.R. and Schwartz, E.S., Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates. J. Financ. Quant. Anal., 1998, 33(1), 33–59.
   Web of Science ®Google Scholar
• Nadarajah, S. and Chu, J., On the inefficiency of Bitcoin. Econ. Lett., 2017, 150, 6–9.
   Web of Science ®Google Scholar
• Ozvatic, S., An analysis of bitcoin spot and futures markets. www.researchonline.mq.edu.au, 2015.
   Google Scholar
• Pagnottoni, P., Neural network models for Bitcoin option pricing. Front. Artif. Intell., 2019, 2, 5.doi:10.3389/frai.2019.00005
   PubMedGoogle Scholar
• Philippas, D., Rjiba, H., Guesmi, K. and Goutte, S., Media attention and Bitcoin prices. Finance Res. Lett., 2019, 30, 37–43.
   Web of Science ®Google Scholar
• Pieters, G. and Vivanco, S., Financial regulations and price inconsistencies across Bitcoin markets. Inf. Econ. Policy, 2017, 39, 1–14.
   Web of Science ®Google Scholar
• Raskin, M. and Yermack, D., Digital currencies, decentralized ledgers and the future of central banking. In Research Handbook on Central Banking, edited by P. Conti-Brown, and R.M. Lastra, pp. 474–486, 2018 (Edward Elgar Publishing: Northampton, MA).
   Google Scholar
• Scaillet, O., Treccani, A. and Trevisan, C., High-frequency jump analysis of the bitcoin market. J. Financ. Econom., 2020, 18(2), 209–232.
   Web of Science ®Google Scholar
• Schilling, L. and Uhlig, H., Some simple bitcoin economics. J. Monet. Econ., 2019, 106, 16–26.
   Web of Science ®Google Scholar
• Shynkevitch, A., Impact of Bitcoin futures on the informational efficiency of the bitcoin spot market. J. Futures Mark., 2020, 41, 115–134.
   Web of Science ®Google Scholar
• Siu, T.K. and Elliott, R.J., Bitcoin option pricing with a SETAR-GARCH model. Eur. J. Finance, 2020, doi:10.1080/1351847X.2020.1828962
   Web of Science ®Google Scholar
• Waters, G.A. and Bui, T., An empirical test for bubbles in cryptocurrency markets. J. Econ. Finance, 2022, 46(1), 207–219.
   Google Scholar
• Weber, B., Bitcoin and the legitimacy crisis of money. Camb. J. Econ., 2016, 40(1), 17–41.
   Web of Science ®Google Scholar
• Wu, J, Xu, K., Zheng, X. and Chen, J., Fractional cointegration in bitcoin spot and futures markets. J. Futures Mark., 2021, May, doi:10.1002/fut.22216
   Web of Science ®Google Scholar
• Yelowitz, A. and Wilson, M., Characteristics of Bitcoin users: An analysis of Google search data. Appl. Econ. Lett., 2015, 22(13), 1030–1036.
   Web of Science ®Google Scholar
• Yermack, D., Is Bitcoin a real currency? An economic appraisal. In Handbook of Digital Currency, edited by D.K.C. Lee, pp. 31–43, 2015 (Academic Press).
   Google Scholar