{"title":"MaMaMoMaMa: BTC 选项","authors":"D. Madan, S. Reyners, W. Schoutens","doi":"10.2139/ssrn.3250760","DOIUrl":null,"url":null,"abstract":"In this paper, we investigate the behavior of the bitcoin (BTC) price through the vanilla options available on the market. We calibrate a series of Markov models on the option surface. In particular, we consider the Black-Scholes model, Laplace model, five Variance Gamma related models and the Heston model. We examine their pricing performance and the stability of the optimal risk-neutral parameters over a period of two months. The analysis proceeds with the construction of BlackScholes and Laplace implied volatity smiles. We conclude with a study of the implied liquidity of BTC call options, based on conic finance theory.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"MaMaMoMaMa: BTC Options\",\"authors\":\"D. Madan, S. Reyners, W. Schoutens\",\"doi\":\"10.2139/ssrn.3250760\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we investigate the behavior of the bitcoin (BTC) price through the vanilla options available on the market. We calibrate a series of Markov models on the option surface. In particular, we consider the Black-Scholes model, Laplace model, five Variance Gamma related models and the Heston model. We examine their pricing performance and the stability of the optimal risk-neutral parameters over a period of two months. The analysis proceeds with the construction of BlackScholes and Laplace implied volatity smiles. We conclude with a study of the implied liquidity of BTC call options, based on conic finance theory.\",\"PeriodicalId\":177064,\"journal\":{\"name\":\"ERN: Other Econometric Modeling: Derivatives (Topic)\",\"volume\":\"11 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-09-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Econometric Modeling: Derivatives (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3250760\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometric Modeling: Derivatives (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3250760","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
In this paper, we investigate the behavior of the bitcoin (BTC) price through the vanilla options available on the market. We calibrate a series of Markov models on the option surface. In particular, we consider the Black-Scholes model, Laplace model, five Variance Gamma related models and the Heston model. We examine their pricing performance and the stability of the optimal risk-neutral parameters over a period of two months. The analysis proceeds with the construction of BlackScholes and Laplace implied volatity smiles. We conclude with a study of the implied liquidity of BTC call options, based on conic finance theory.
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