Simeng Li

The University of Sydney

A20 JOHN WOOLLEY BUILDING

UNIVERSITY OF SYDNEY

CAMPERDOWN, 2006

Australia

  • The University of Sydney

SCHOLARLY PAPERS

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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: 14 Posted: 09 Oct 2021 Last Revised: 04 Jan 2022
Sean Foley, Simeng Li, Hamish Malloch and Jiri Svec
Macquarie University, The University of Sydney, The University of Sydney and The University of Sydney - Discipline of Finance
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Citation 1

Abstract:

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Bitcoin, cryptocurrency, expected return, term structure, risk premium