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Cryptocurrency volatility markets

By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market’s expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities. Two alternative method...

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Detalles Bibliográficos
Autor principal: Woebbeking, Fabian
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8326316/
https://www.ncbi.nlm.nih.gov/pubmed/34368626
http://dx.doi.org/10.1007/s42521-021-00037-3