Risk Measurement of Digital Asset Options
Explore a comprehensive methodology for measuring the risk of options in digital asset markets. From historical simulations to advanced risk measures like VaR and CVaR, this paper is essential for anyone managing option portfolios in the volatile crypto landscape.
Risk Measurement of Digital Asset Options
Introduction
Explore a comprehensive methodology for measuring the risk of options in digital asset markets. From historical simulations to advanced risk measures like VaR and CVaR, this paper is essential for anyone managing option portfolios in the volatile crypto landscape.
Abstract: This paper presents a comprehensive methodology for generating profit and loss (P&L) scenarios, focusing on options in digital asset markets. We also showcase how computing a number of distribution measures such as Value at Risk (VaR) can be utilized to manage risk for portfolios of digital assets and derivatives (perpetuals, futures and options). The methodology encompasses historical simulations of the spot prices and the volatility surfaces, and it highlights the importance of conducting full revaluations to accurately capture the nonlinear effects associated with option positions.
Download the full paper to understand the effects of historical spot prices and volatility surfaces on the P&L of option contracts.
*Note: Cloudwall and the technology behind its Serenity System were acquired by Talos in April 2024. Learn more.
Latest insights and research
.png)
Request a demo
Find out how Talos can simplify the way you interact with the digital asset markets.