Abstract:
In this paper, the Heston–Nandi futures option pricing model is applied to Bitcoin futures
options. The model prices are compared to market prices to give an indication of the pricing
performance. In addition, a multivariate Bitcoin futures option pricing methodology based on a
multivatiate GARCH model is developed. The empirical results show that a symmetric model is a
better fit when applied to Bitcoin futures returns, and also produces more accurate option prices
compared to market prices for two out of three expiry dates considered.
