Jump risk premia in the presence of clustered jumps
Liu, Packham and Sepp (2025) study options trading strategies in crypto. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The process captures both self- and cross-excitation of positive and negative jumps, enabling the model to generate return dynamics with asymmetric, time-varying skewness and to produce positive or negative implied volatility skews.”
AssetCryptooptions, futures
StrategyOptions strategiescarry trade
InputsText and newsoptions-implied
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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