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.
A continuous time model for bitcoin price dynamics
Cretarola A.;
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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