Valuation of bitcoin options
通过扩展Cao模型，将比特币视为小型开放经济中的外币，推导出均衡期权定价公式，发现比特币期权价格相对于Black-Scholes模型存在正溢价。
Abstract We propose an equilibrium valuation model for bitcoin options by extending Cao. Bitcoin is interpreted as a foreign currency in a small open economy where money supply and aggregate dividend are exogenous. The equilibrium bitcoin prices increase with diffusive and jump risks of these two exogenous factors. Analytical option pricing formulas are obtained with Merton's model as a special case. Static analysis reveals that a bitcoin call (put) option value increases (decreases) with the money supply growth rate. Numerical analysis shows that all risks lead to a positive premium in option prices relative to the Black–Scholes model.