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Terrel Miao

Simon Fraser University (SFU)

SCHOLARLY PAPERS

2

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378

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0

Scholarly Papers (2)

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1.

What Do Crypto Options Tell Us? Risk Premia Implied by BTC Option Prices

Downloads 260 (474,889)

What Do Crypto Options Tell Us? Risk Premia Implied by BTC Option Prices

Number of pages: 37 Posted: 03 Apr 2026
Christina V. Atanasova, Terrel Miao, Ignacio Segarra and Frederick H. Willeboordse
Simon Fraser University (SFU), Simon Fraser University (SFU), Simon Fraser University (SFU) - Beedie School of Business and Simon Fraser University (SFU)
Downloads 140 (779,641)

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Crypto Options, Risk-Neutral Probability, SDF, Risk Premia

What Do Crypto Options Tell Us? Risk Premia Implied by BTC Option Prices

Number of pages: 1 Posted: 15 May 2026
Christina V. Atanasova, Terrel Miao, Ignacio Segarra and Frederick Willeboordse
Simon Fraser University (SFU), Simon Fraser University (SFU), Simon Fraser University (SFU) - Beedie School of Business and affiliation not provided to SSRN
Downloads 120 (871,518)

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Bitcoin options, Risk-neutral distribution, Option implied factors, Return predictability

2.

Aggregate Illiquidity and Crypto Option Returns

Number of pages: 23 Posted: 28 May 2025
Christina V. Atanasova, Terrel Miao, Ignacio Segarra and Frederick Willeboordse
Simon Fraser University (SFU), Simon Fraser University (SFU), Simon Fraser University (SFU) - Beedie School of Business and affiliation not provided to SSRN
Downloads 118 (649,907)

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Cryptocurrency Option Illiquidity, Aggregate Gamma Inventory, Delta-hedging, Latent Factor Models