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Quant Finance

Black-Scholes on Bitcoin

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
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