What is the expected return on bitcoin? Extracting the term structure of returns from options prices

DOI10.1016/j.econlet.2021.110196zbMath1480.91296OpenAlexW3209521018MaRDI QIDQ2069988

Simeng Li, Jiri Svec, Hamish Malloch, Sean Foley

Publication date: 21 January 2022

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110196

zbMATH Keywords

term structurerisk premiumbitcoinexpected returncryptocurrency

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Does Bitcoin add value to global industry portfolios?
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• What is the Expected Return on the Market?*

This page was built for publication: What is the expected return on bitcoin? Extracting the term structure of returns from options prices