Monte Carlo method for evaluating cryptocurrency options – Diana Catherine Castro Ortegate
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 …moreAbstract:
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
Identifier:
https://vskp.vse.cz/eid/94371
Thesis defence
- Date of defence: 21. 8. 2024
- Supervisor: Adam Čabla
- Reader: Karel Helman
Citation record
Full text of thesis
Contents of on-line thesis archive
Published in Theses:- autentizovaným zaměstnancům ze stejné školy/fakulty
Other ways of accessing the text
Institution archiving the thesis and making it accessible: Vysoká škola ekonomická v Prazehttps://vskp.vse.cz/eid/94371
Vysoká škola ekonomická v Praze
Master programme / field:
Economic Data Analysis / Data Analysis and Modeling
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