Valuation of bitcoin options

被引：4

作者：

Cao, Melanie ^{[1
]}

Celik, Batur ^{[1
]}

机构：

[1] York Univ, Finance Area, Schulich Sch Business, 4700 Keele St, Toronto, ON M3J 1P3, Canada

来源：

JOURNAL OF FUTURES MARKETS | 2021年 / 41卷 / 07期

关键词：

bitcoin options; equilibrium valuation; systematic and nonsystematic jump risk premiums; MARKET PORTFOLIO; EXCHANGE; PRICES; JUMPS;

D O I：

10.1002/fut.22214

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose an equilibrium valuation model for bitcoin options by extending Cao. Bitcoin is interpreted as a foreign currency in a small open economy where money supply and aggregate dividend are exogenous. The equilibrium bitcoin prices increase with diffusive and jump risks of these two exogenous factors. Analytical option pricing formulas are obtained with Merton's model as a special case. Static analysis reveals that a bitcoin call (put) option value increases (decreases) with the money supply growth rate. Numerical analysis shows that all risks lead to a positive premium in option prices relative to the Black-Scholes model.

引用

页码：1007 / 1026

页数：20

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