Quant Finance
Black-Scholes on Bitcoin
Role
Independent research
Year
2023
Category
Quant Finance
Stack
Python, NumPy
Overview
An applied research project testing how far the classical Black-Scholes-Merton framework can be stretched to price Bitcoin options, where volatility clustering and fat tails break most of the model’s original assumptions.
The output is a full implied volatility surface, rebuilt from live option quotes, used to flag where the market is over- or under-pricing tail risk relative to the model.
Highlights
01Full IV surface reconstruction from live BTC option quotes
02Skew and smile analysis versus traditional equity index options
03Model-versus-market mispricing flagged in real time
04Written up as a standalone research notebook
Feature gallery
Built with
PythonNumPySciPyMatplotlib