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A Continuous Time Model for Bitcoin Price Dynamics

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Alessandra Cretarola

    (University of Perugia, Department of Mathematics and Computer Science)

  • Gianna Figà-Talamanca

    (University of Perugia, Department of Economics)

  • Marco Patacca

    (University of Perugia, Department of Economics)

Abstract

This chapter illustrates a continuous time model for the dynamics of Bitcoin price, which depends on an attention or sentiment factor. The model is proven arbitrage-free under mild conditions and a quasi-closed pricing formula for European style derivatives is provided.

Suggested Citation

  • Alessandra Cretarola & Gianna Figà-Talamanca & Marco Patacca, 2018. "A Continuous Time Model for Bitcoin Price Dynamics," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 273-277, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_49
    DOI: 10.1007/978-3-319-89824-7_49
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