Paper Title :Investigation of Properties and Predictability of Cryptocurrency Option Price

Author :Yuzhou Wang, Xiaojing Su

Article Citation :Yuzhou Wang ,Xiaojing Su , (2020 ) " Investigation of Properties and Predictability of Cryptocurrency Option Price " , International Journal of Management and Applied Science (IJMAS) , pp. 70-75, Volume-6,Issue-1

Abstract : In this study, I focus on the options of Bitcoin, one of the most widely-known cryptocurrencies, and discuss the prediction method of its price dynamics. This paper derives the volatility of Bitcoin price by analyzing the Bitcoin price in three different temporal domains. Based on this, the Black-Scholes model is used to calculate and analyze the price of the Bitcoin options. I find that the complex temporal dynamics of Bitcoin options is jointly determined by the market price of Bitcoin, volatility, the risk-free interest rate, and the strike price either in a positive or negative manner. The predictive modeling with Black-Scholes model is successful in terms of reproducing historical and predicting future prices of Bitcoin options. This study offers a deeper understanding of cryptocurrency market with significant implications on controlling factors, and also provides a new tool to predictively modeling this complex system. Keywords - Bitcoin, Option Price, Black-Scholes Model

Type : Research paper

Published : Volume-6,Issue-1

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