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Pricing inefficiencies and skew dynamics in crypto options markets: evidence from Deribit
Міжнародний науковий журнал «Інтернаука», № 21, грудень 2023
Анотація
This paper provides a comprehensive study of market inefficiencies and asymmetric dynamics in the fast-growing cryptocurrency options market, focusing on data from leading trading platform Deribit. The analysis covers historical data, including a detailed examination of implied volatility behavior, systematic deviations from put-call parity, as well as market reactions to key macroeconomic events and liquidity shocks. The findings demonstrate the presence of persistent anomalies in pricing mechanisms that are closely related to the asymmetric distribution of liquidity between calls and puts, as well as market participants’ behavioral factors.
Ключові слова: cryptocurrency options; market inefficiencies; Deribit platform; implied volatility; volatility asymmetry; behavioral finance; put-call parity; market microstructure
Як цитувати
Yakymashko V. Pricing inefficiencies and skew dynamics in crypto options markets: evidence from Deribit // International scientific journal "Internauka". — 2023. — №21. https://doi.org/10.25313/2520-2057-2023-21-11352
@article{internauka11352,
author = {Yakymashko, Vladyslav},
title = {Pricing inefficiencies and skew dynamics in crypto options markets: evidence from Deribit},
journal = {Міжнародний науковий журнал «Інтернаука»},
year = {2023},
number = {21},
doi = {10.25313/2520-2057-2023-21-11352},
url = {https://www.inter-nauka.com/issues/2023/21/11352}
}
TY - JOUR AU - Yakymashko, Vladyslav TI - Pricing inefficiencies and skew dynamics in crypto options markets: evidence from Deribit JO - Міжнародний науковий журнал «Інтернаука» PY - 2023 IS - 21 SN - 2520-2057 DO - 10.25313/2520-2057-2023-21-11352 UR - https://www.inter-nauka.com/issues/2023/21/11352 LA - en ER -