Pricing Cryptocurrency Options with Machine Learning Regression for Handling Market Volatility

Description

This replication folder contains all necessary resources to reproduce the findings of our study on the application of machine learning models to price cryptocurrency options. It includes a Jupyter notebook with the complete codebase, structured to guide users through data loading, model application, and result generation. Hyperparameters optimized via grid search are provided in pickle files. The dataset includes preprocessed cryptocurrency option data from Binance necessary for replication. Due to licensing restrictions, equity option data is not included; however, guidelines on accessing this data through Wharton Research Data Services (WRDS) are provided.

Steps to reproduce

See the README file attached.

Institutions

Categories

Licence