Chen, Kuo Shing; Yang, J. Jimmy - In: Financial innovation : FIN 10 (2024), pp. 1-29
In the FinTech era, we contribute to the literature by studying the pricing of Bitcoin options, which is timely and … important given that both Nasdaq and the CME Group have started to launch a variety of Bitcoin derivatives. We fnd pricing … errors in the presence of market smiles in Bitcoin options, especially for short-maturity ones. Long maturity options display …