文章标题：Implied volatility slopes and jumps in bitcoin options market

发表期刊：Operations Research Letters

发表时间：2024年7月

刊次:55期

摘要：

This paper derives a theoretical relation between the left and right slopes of the implied volatility curve with negative and positive price jumps. Empirical analysis using bitcoin options tick-by-tick data from Deribit exchange supported the theoretical findings that negative and positive jumps have reversal impacts on bitcoin options’ implied volatility slopes even after the control of net-buying-pressure and realized positive and negative skewness measures.

关键词: Bitcoin option, Implied volatility slope, Price jump, Net-buying-pressure

博士生简介：

陈甜，华人博彩论坛 2021级金融工程博士，导师邓军