Application of financial derivatives to Bitcoin
| Thesis title: | Application of financial derivatives to Bitcoin |
|---|---|
| Author: | Kanderová, Tatiana |
| Thesis type: | Diploma thesis |
| Supervisor: | Jedlinský, Jakub |
| Opponents: | Abdallah, Kareem Issam |
| Thesis language: | English |
| Abstract: | The masters's thesis is focused on application of financial derivatives to the Bitcoin. In the first two chapters, Bitcoin and selected hedging strategies, namely options and futures, are described. Next is presented the application of the Monte Carlo for valuation of the Bitcoin options contracts as an alternative to Black-Scholes formula. In the last chapter, the effect of selected hedging strategies is assessed in the real conditions on the market, however the results cannot be generalized. Moreover, the Monte Carlo simulation seemed to be an effective approach for options price estimation. |
| Keywords: | Bitcoin; derivatives; hedging; futures; options |
| Thesis title: | Application of financial derivates to bitcoin |
|---|---|
| Author: | Kanderová, Tatiana |
| Thesis type: | Diplomová práce |
| Supervisor: | Jedlinský, Jakub |
| Opponents: | Abdallah, Kareem Issam |
| Thesis language: | English |
| Abstract: | Diplomová práce se zabývá aplikací finančních derivátů na Bitcoin. V první kapitole je definován Bitcoin a vybrané zajišťovací strategie, jmenovitě futures a opce. Dále je prezentována Monte Carlo simulace jako alternativa k Black-Scholes modelu pro ocenění opčních a futures kontraktů, což se ukázalo jako vhodné pro oceňování opcí. V poslední kapitole jsou vybrané zajišťovací strategie zkoumány v reálných podmínkách trhu, výsledky však není možné generalizovat. |
| Keywords: | opce; Bitcoin; futures |
Information about study
| Study programme: | Mezinárodní ekonomické vztahy/Mezinárodní obchod |
|---|---|
| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of International Relations |
| Department: | Department of International Economic Relations |
Information on submission and defense
| Date of assignment: | 30. 6. 2020 |
|---|---|
| Date of submission: | 28. 6. 2022 |
| Date of defense: | 13. 9. 2022 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/73660/podrobnosti |