This chapter illustrates a continuous time model for the dynamics of Bitcoin price, which depends on an attention or sentiment factor. The model is proven arbitrage-free under mild conditions and a quasi-closed pricing formula for European style derivatives is provided.
Cretarola, A., Figà-Talamanca, G., Patacca, M. (2018). A Continuous Time Model for Bitcoin Price Dynamics. In Mathematical and Statistical Methods for Actuarial Sciences and Finance, MAF 2018 (pp. 273-277). Springer, Cham [10.1007/978-3-319-89824-7_49].
A Continuous Time Model for Bitcoin Price Dynamics
Marco Patacca
2018-01-01
Abstract
This chapter illustrates a continuous time model for the dynamics of Bitcoin price, which depends on an attention or sentiment factor. The model is proven arbitrage-free under mild conditions and a quasi-closed pricing formula for European style derivatives is provided.File in questo prodotto:
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