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Simeng Li
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Scholarly Papers (1)
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What is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices
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What Is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices
Number of pages: 13
Posted: 05 Oct 2021
Sean Foley
, Simeng Li,
Hamish Malloch
and
Jiri Svec
Macquarie University,
affiliation not provided to SSRN
, The University of Sydney and The University of Sydney - Discipline of Finance
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Abstract:
Bitcoin, cryptocurrency, expected return, term structure, risk premium
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