BTC's volatility is far more concentrated than other assets; a month of calm can see all price movements completed in just one hour.
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leifu _/
@leifuchen
03-23
大家可能都听说过 BS 模型不适用于加密期权定价,但到底有多不适合可能缺乏定量的认识。Kończal 在 2025 年发表的论文《基于加密期货合约的期权定价》使用 CME 的 BTC/ETH 期货期权数据对比了 6 个定价模型,BS 模型的误差是最优模型的 3.5-5.5 倍。
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Disclaimer: The content above is only the author's opinion which does not represent any position of Followin, and is not intended as, and shall not be understood or construed as, investment advice from Followin.
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