Pricing Kernels and Risk Premia implied in Bitcoin Options
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F23%3A10489892" target="_blank" >RIV/00216208:11320/23:10489892 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=bUKjQqKSJA" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=bUKjQqKSJA</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3390/risks11050085" target="_blank" >10.3390/risks11050085</a>
Alternative languages
Result language
angličtina
Original language name
Pricing Kernels and Risk Premia implied in Bitcoin Options
Original language description
Bitcoin Pricing Kernels (PKs) are estimated using a novel data set from Deribit, the leading Bitcoin options exchange. The PKs, as the ratio between risk-neutral and physical density, dynamically reflect the change in investor preferences. Thus, the PKs improve the understanding of investor expectations and risk premiums in a new asset class. Bootstrap-based confidence bands are estimated in order to validate the results. Investors are heterogeneous in their risk profiles and preferences with respect to volatility and investment horizon. The empirical PKs turn out to be U-shaped for short-dated instruments and W-shaped for long-dated instruments. We find that investors are willing to pay a substantial risk premium to insure themselves against short-term price movements. The risk premium is smaller for longer-dated instruments and their traders are risk averse. The shape of the empirical PKs reveals the existence of a time-varying risk premium. The similarity between the shape of empirical PKs for Bitcoin and other markets that represent aggregate wealth shows that Bitcoin is becoming an established asset class.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Risks
ISSN
2227-9091
e-ISSN
2227-9091
Volume of the periodical
11
Issue of the periodical within the volume
5
Country of publishing house
CH - SWITZERLAND
Number of pages
18
Pages from-to
85
UT code for WoS article
000996715700001
EID of the result in the Scopus database
2-s2.0-85160278880