Economics at your fingertips  

Advanced model calibration on bitcoin options

Dilip B. Madan (), Sofie Reyners () and Wim Schoutens ()
Additional contact information
Dilip B. Madan: University of Maryland
Sofie Reyners: University of Leuven
Wim Schoutens: University of Leuven

Digital Finance, 2019, vol. 1, issue 1, 117-137

Abstract: Abstract In this paper, we investigate the dynamics 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 optimal risk-neutral model parameters over a period of 2 months. We conclude with a study of the implied liquidity of BTC call options, based on conic finance theory.

Keywords: Cryptocurrency; Modelling; Bitcoin; Calibration (search for similar items in EconPapers)
JEL-codes: C52 C60 G10 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Digital Finance is currently edited by Wolfgang Karl Härdle, Steven Kou and Min Dai

More articles in Digital Finance from Springer
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-11-10
Handle: RePEc:spr:digfin:v:1:y:2019:i:1:d:10.1007_s42521-019-00002-1