A cost of carry-based framework for the Bitcoin futures price modeling
Yu-Min Lian, Chi-Hung Cheng, Shih-Hsun Lin, Jui-Hsuan Lin
| Year of publication: |
2019
|
|---|---|
| Authors: | Lian, Yu-Min ; Cheng, Chi-Hung ; Lin, Shih-Hsun ; Lin, Jui-Hsuan |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 9.2019, 1, p. 42-53
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| Subject: | Bitcoin Futures Price | Monte Carlo Simulation | Spot-Futures Parity | Cost of Carry | Geometric Brownian Motion | Derivat | Derivative | Monte-Carlo-Simulation | Monte Carlo simulation | Virtuelle Währung | Virtual currency | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Simulation | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2019.91004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012116666