What Is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices

We infer the forward-looking Bitcoin risk premium from options contracts. Using data from 2018 to 2020, we show that the expected excess returns for Bitcoin are time-varying and significantly higher than in equities or gold, averaging almost 80% per annum. A temporal analysis of the term structure of Bitcoin risk premia reveals an upward sloping term structure during Bitcoin bull markets and downward sloping during Bitcoin bear markets

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Year of publication:	[2021]
Authors:	Foley, Sean ; Li, Simeng ; Malloch, Hamish ; Svec, Jiri
Publisher:	[S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Optionspreistheorie \| Option pricing theory \| Kapitaleinkommen \| Capital income \| Risikoprämie \| Risk premium \| Volatilität \| Volatility \| Kapitalmarktrendite \| Capital market returns

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Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 1, 2021 erstellt
Other identifiers:	10.2139/ssrn.3934317 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013210940