Hedging cryptos with Bitcoin futures

DOI10.1080/14697688.2023.2187316MaRDI QIDQ6158443zbMATH OpenOpenAlexFDO

Authors N. Packham, Meng-Jou Lu, Wolfgang K. Härdle

Publication date 20 June 2023

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/249173

zbMATH Keywords

cryptocurrencieshedging copulasrisk management

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(8)

• Bitcoin futures -- what use are they?
• Can fiat currencies really hedge bitcoin? Evidence from dynamic short-term perspective
• Tail dependence between bitcoin and green financial assets
• The speculative (In)efficiency of the CME bitcoin futures market
• The optimal foreign exchange futures hedge on the bitcoin exchange rate: an application to the U.S. Dollar and the Euro
• Hedging cryptocurrency options
• Delta hedging bitcoin options with a smile
• Valuation and hedging of cryptocurrency inverse options

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