主讲人：操敏 (Melanie Cao)
题目：Valuation of Bitcoin Options
Meeting ID: 924 1466 9214
主讲人简介：操敏(Melanie Cao)，加拿大约克大学Schulich商学院教授，多伦多大学博士，华中科技大学本科硕士，研究方向为最优动机合同、资产定价和市场流动性等，在Journal of Finance, Journal of Corporate Finance, Journal of Banking and Finance等期刊发表论文多篇。
论文摘要：We propose an equilibrium valuation model for Bitcoin options traded on the Chicago Mercantile Exchange. By extending Cao (2001), we interpret bitcoin as a foreign currency in a small open economy where money generates utility to agents aside from consumption. Treating the money supply and aggregate dividend as exogenous, we embed both the diffusive and jump risks from these two processes into the bitcoin price which is just the exchange rate. Closed-formed option pricing formulas are obtained with the Merton’s (1976) model as a special case. Static analysis reveals that bitcoin prices increase with both the diffusive and jump risks of the money supply and aggregate dividend. Call (put) prices also increase (decrease) with the growth rate of money supply. Numerical analysis shows that, among other things, all risks lead to a positive premium in option prices relative to the benchmark Black-Scholes model, and a large portion of the bitcoin return volatility stems from the diffusive and/or jump risks of money supply.