Monte Carlo method for evaluating cryptocurrency options
| Thesis title: | Monte Carlo method for evaluating cryptocurrency options |
|---|---|
| Author: | Castro Ortegate, Diana Catherine |
| Thesis type: | Diploma thesis |
| Supervisor: | Čabla, Adam |
| Opponents: | Helman, Karel |
| Thesis language: | English |
| 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 models, the research aims to provide a nuanced understanding of Bitcoin price dynamics and their implications for financial modelling. The results indicate that while incorporating dynamic drift into GBM improves the accuracy of simulated option prices, significant discrepancies remain due to the heavy-tailed nature of Bitcoin returns and the reliance on historical volatility. The study underscores the need for more sophisticated models to better capture the full scope of Bitcoin price movements, suggesting future research directions in financial modelling and option pricing |
| Keywords: | Financial Modeling; Monte Carlo Simulation; Extreme Events |
| Thesis title: | IMPACT OF EXTREME EVENTS ON THE ACCURACY OF MONTE CARLO METHODS IN ESTIMATING CRYPTOCURRENCY OPTIONS |
|---|---|
| Author: | Castro Ortegate, Diana Catherine |
| Thesis type: | Diplomová práce |
| Supervisor: | Čabla, Adam |
| Opponents: | Helman, Karel |
| Thesis language: | English |
| 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 models, the research aims to provide a nuanced understanding of Bitcoin price dynamics and their implications for financial modelling. The results indicate that while incorporating dynamic drift into GBM improves the accuracy of simulated option prices, significant discrepancies remain due to the heavy-tailed nature of Bitcoin returns and the reliance on historical volatility. The study underscores the need for more sophisticated models to better capture the full scope of Bitcoin price movements, suggesting future research directions in financial modelling and option pricing |
| Keywords: | Financial Modeling; Monte Carlo Simulation; Extreme Events |
Information about study
| Study programme: | Economic Data Analysis/Data Analysis and Modeling |
|---|---|
| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Informatics and Statistics |
| Department: | Department of Statistics and Probability |
Information on submission and defense
| Date of assignment: | 28. 4. 2023 |
|---|---|
| Date of submission: | 27. 6. 2024 |
| Date of defense: | 21. 8. 2024 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/84489/podrobnosti |