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Pricing of wrapped Bitcoin and Ethereum on-chain options

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  • Anastasiia Zbandut

Abstract

This paper measures price differences between Hegic option quotes on Arbitrum and a model-based benchmark built on Black--Scholes model with regime-sensitive volatility estimated via a two-regime MS-AR-(GJR)-GARCH model. Using option-level feasible GLS, we find benchmark prices exceed Hegic quotes on average, especially for call options. The price spread rises with order size, strike, maturity, and estimated volatility, and falls with trading volume. By underlying, wrapped Bitcoin options show larger and more persistent spreads, while Ethereum options are closer to the benchmark. The framework offers a data-driven analysis for monitoring and calibrating on-chain option pricing logic.

Suggested Citation

  • Anastasiia Zbandut, 2025. "Pricing of wrapped Bitcoin and Ethereum on-chain options," Papers 2512.20190, arXiv.org.
    • Handle: RePEc:arx:papers:2512.20190
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    1. repec:eme:sef000:sef-08-2018-0264 is not listed on IDEAS
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    3. Tim Leung & Hung Nguyen, 2019. "Constructing cointegrated cryptocurrency portfolios for statistical arbitrage," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 36(4), pages 581-599, September.
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