Theory of Cryptocurrency Interest Rates

DOI10.1137/19M1263042zbMath1443.91306arXiv1904.05472OpenAlexW3009171746MaRDI QIDQ5112534

Lane P. Hughston, Bernhard K. Meister, Dorje C. Brody

Publication date: 29 May 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.05472

zbMATH Keywords

derivativesforeign exchangeinterest rate modelscryptocurrenciespricing kernelsblockchainsdistributed ledger technologies

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic processes (60G99)

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