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Article

Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing

by 1,2,*,† and 3,†
1
Department of Actuarial Science, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa
2
Department of Finance and Investment Management, University of Johannesburg, P.O. Box 524, Aucklandpark 2006, South Africa
3
Department of Mathematics and Applied Mathematics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa
*
Author to whom correspondence should be addressed.
These authors contributed equally to this work.
Academic Editor: Stephen Satchell
J. Risk Financial Manag. 2021, 14(6), 261; https://doi.org/10.3390/jrfm14060261
Received: 5 May 2021 / Revised: 2 June 2021 / Accepted: 7 June 2021 / Published: 10 June 2021
In this paper, the Heston–Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin futures option pricing methodology based on a multivatiate GARCH model is developed. The empirical results show that a symmetric model is a better fit when applied to Bitcoin futures returns, and also produces more accurate option prices compared to market prices for two out of three expiry dates considered. View Full-Text
Keywords: Bitcoin; GARCH; futures options; multivariate Bitcoin; GARCH; futures options; multivariate
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MDPI and ACS Style

Venter, P.J.; Maré, E. Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing. J. Risk Financial Manag. 2021, 14, 261. https://doi.org/10.3390/jrfm14060261

AMA Style

Venter PJ, Maré E. Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing. Journal of Risk and Financial Management. 2021; 14(6):261. https://doi.org/10.3390/jrfm14060261

Chicago/Turabian Style

Venter, Pierre J., and Eben Maré. 2021. "Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing" Journal of Risk and Financial Management 14, no. 6: 261. https://doi.org/10.3390/jrfm14060261

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