Pricing Kernels and Risk Premia implied in Bitcoin Options
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Pricing Kernels and Risk Premia implied in Bitcoin Options
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Pricing Kernels and Risk Premia implied in Bitcoin Options
Popis výsledku anglicky
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.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50201 - Economic Theory
Návaznosti výsledku
Projekt
<a href="/cs/project/GX19-28231X" target="_blank" >GX19-28231X: Dynamické modely pro digitální finance</a><br>
Návaznosti
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Ostatní
Rok uplatnění
2023
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Risks
ISSN
2227-9091
e-ISSN
2227-9091
Svazek periodika
11
Číslo periodika v rámci svazku
5
Stát vydavatele periodika
CH - Švýcarská konfederace
Počet stran výsledku
18
Strana od-do
85
Kód UT WoS článku
000996715700001
EID výsledku v databázi Scopus
2-s2.0-85160278880