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Pricing Bitcoin Derivatives under Jump-Diffusion Models

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  • Pablo Olivares

Abstract

In recent years cryptocurrency trading has captured the attention of practitioners and academics. The volume of the exchange with standard currencies has known a dramatic increasing of late. This paper addresses to the need of models describing a bitcoin-US dollar exchange dynamic and their use to evaluate European option having bitcoin as underlying asset.

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  • Pablo Olivares, 2020. "Pricing Bitcoin Derivatives under Jump-Diffusion Models," Papers 2002.07117, arXiv.org.
    • Handle: RePEc:arx:papers:2002.07117
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    References listed on IDEAS

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    1. Ernst Eberlein & Sebastian Raible, 1999. "Term Structure Models Driven by General Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 31-53, January.
    2. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
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