Diana Catherine Castro Ortegate

Master's thesis

Monte Carlo method for evaluating cryptocurrency options

IMPACT OF EXTREME EVENTS ON THE ACCURACY OF MONTE CARLO METHODS IN ESTIMATING CRYPTOCURRENCY OPTIONS
Abstract:
This thesis explores the implementation and effectiveness of Monte Carlo simulations to model future Bitcoin (BTC) option prices under both normal and extreme market conditions. The study employs various simulation approaches, including historical daily returns, Geometric Brownian Motion (GBM), and a modified GBM with dynamic drift. By analysing the impact of extreme events on the accuracy of these …more
Abstract:
This thesis explores the implementation and effectiveness of Monte Carlo simulations to model future Bitcoin (BTC) option prices under both normal and extreme market conditions. The study employs various simulation approaches, including historical daily returns, Geometric Brownian Motion (GBM), and a modified GBM with dynamic drift. By analysing the impact of extreme events on the accuracy of these …more
 
 
Language used: English
Date on which the thesis was submitted / produced: 27. 6. 2024

Thesis defence

  • Date of defence: 21. 8. 2024
  • Supervisor: Adam Čabla
  • Reader: Karel Helman

Citation record

Full text of thesis

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https://vskp.vse.cz/eid/94371