A note on ambiguity, network adoption and crypto pricing

Zhuyi Shen, Shibo Wang, Jinqiang Yang and Siqi Zhao

Finance Research Letters, 2025, vol. 82, issue C

Abstract: We develop a tractable dynamic asset pricing model for cryptocurrencies that addresses users’ concerns about model uncertainty. Our paper provides a closed-form solution to token pricing, yielding homothetic and homogeneous robust decisions. A key insight is that the rate of robust adoption may either increase or decrease relative to tokenless economy, depending on the trade-off between the token-appreciation effect and user ambiguity aversion. Compared with the numerical analysis in Shen et al. (2023), we tractably demonstrate the adverse impact of ambiguity on optimal token holdings and the token price through two primary mechanisms: users’ robust decisions and the user base.

Keywords: Ambiguity; Cryptocurrency; Model uncertainty; Numeraire; Tokenomics (search for similar items in EconPapers)
JEL-codes: D81 E42 G12 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:82:y:2025:i:c:s1544612325007597

DOI: 10.1016/j.frl.2025.107500

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