Bitcoin: jumps, convenience yields, and option prices
研究了比特币的价格特征，发现存在跳跃和正便利收益，并开发了跳跃扩散模型用于期权定价，实证表明该模型优于传统Black-Scholes模型，比特币更像商品而非货币。
We investigate Bitcoin pricing characteristics and find evidence of jumps and positive convenience yield. We develop a theoretical jump diffusion model for options on spots and use simulations to evaluate non-linear parameter estimates. Data from the Deribit exchange is used to compare the performance of the jump diffusion models with Practitioner Black–Scholes models. Using Diebold–Marino statistics and standard error metrics, we find that the jump diffusion models significantly outperform Practitioner Black–Scholes models. We conclude that Bitcoin behaves more like a commodity than a currency.