A Continuous Time Model for Bitcoin Price Dynamics

Alessandra Cretarola (), Gianna Figà-Talamanca () and Marco Patacca ()
Additional contact information
Alessandra Cretarola: University of Perugia, Department of Mathematics and Computer Science
Gianna Figà-Talamanca: University of Perugia, Department of Economics
Marco Patacca: University of Perugia, Department of Economics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 273-277 from Springer

Abstract: Abstract This chapter illustrates a continuous time model for the dynamics of Bitcoin price, which depends on an attention or sentiment factor. The model is proven arbitrage-free under mild conditions and a quasi-closed pricing formula for European style derivatives is provided.

Keywords: Bitcoin; Sentiment; Option pricing (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_49

Ordering information: This item can be ordered from
http://www.springer.com/9783319898247

DOI: 10.1007/978-3-319-89824-7_49

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().