Jump-Diffusion Models for Pricing Bitcoin Options

Summary

This paper addresses the pricing of European options whose underlying asset is bitcoin, focusing on the bitcoin–US dollar exchange rate. It motivates the analysis by noting the growth of cryptocurrency trading and the need for models that describe bitcoin’s exchange-rate dynamics. The proposed framework uses jump-diffusion models, which represent price evolution through both continuous movements and abrupt jumps.

The available description does not specify the model assumptions, parameter estimation, data, or pricing equations, and it reports no empirical results or comparison with alternative approaches. It therefore identifies a relevant modeling direction but provides too little detail to assess calibration quality or practical pricing performance. Its scope is derivative valuation rather than a trading strategy, and the description is limited to European options on bitcoin.

Key ideas

• The paper studies European options with bitcoin as the underlying asset.
• It models the bitcoin–US dollar exchange rate using jump-diffusion dynamics.
• The summary available here gives no calibration procedure, equations, or empirical pricing results.
• The approach concerns derivative valuation and does not describe a trading strategy.

Tags

# Pricing Bitcoin Derivatives under Jump-Diffusion Models


# Pricing Bitcoin Derivatives under Jump-Diffusion Models









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.

Shown in full with attribution under the source's licence. Licence: abstract CC0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.