A cost of carry-based framework for the Bitcoin futures price modeling
Year of publication: |
2019
|
---|---|
Authors: | Lian, Yu-Min ; Cheng, Chi-Hung ; Lin, Shih-Hsun ; Lin, Jui-Hsuan |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 9.2019, 1, p. 42-53
|
Subject: | Bitcoin Futures Price | Monte Carlo Simulation | Spot-Futures Parity | Cost of Carry | Geometric Brownian Motion | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Simulation | Virtuelle Währung | Virtual currency | CAPM | Futures |
-
Model based Monte Carlo pricing of energy and temperature Quanto options
Caporin, Massimiliano, (2012)
-
Equilibrium option pricing : a Monte Carlo approach
Buchner, Axel, (2015)
-
Options pricing by Monte Carlo simulation, binomial tree and BMS model : a comparative study
Bendob, Ali, (2019)
- More ...
-
Dynamic linkages among alternative investments
Lian, Yu-Min, (2019)
-
Risk determinants of gold betas
Lian, Yu-Min, (2014)
-
State-dependent jump risks for American gold futures option pricing
Lian, Yu-Min, (2015)
- More ...