In this paper, we investigate the behavior 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...

Lower and upper prudent valuations in two price economies obtained on sufficiently distorting physical probabilities for returns to horizons matching option maturities straddle the market prices of options. Market prices are then modeled as geometric averages of the extremal valuations. Upper...

In this paper the authors introduce the new concept of implied liquidity on the basis of the recent developed two-way price theory (conic finance). Implied liquidity isolates and quantifies in a fundamental way liquidity risk in financial markets. It is shown on real market option data on the...

It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a...