In this paper, we investigate the dynamics 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 Heston model. We examine their pricing performance and the optimal risk-neutral model parameters over a period of 2 months. We conclude with a study of the implied liquidity of BTC call options, based on conic finance theory.
CITATION STYLE
Madan, D. B., Reyners, S., & Schoutens, W. (2019). Advanced model calibration on bitcoin options. Digital Finance, 1(1–4), 117–137. https://doi.org/10.1007/s42521-019-00002-1
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