Venter, Pierre J.; Maré, E. - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14
In this paper, the Heston-Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin futures option pricing methodology based on a multivatiate...
