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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer International Publishing
2021
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| 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 |