Inverse Options in a Black-Scholes World

  title={Inverse Options in a Black-Scholes World},
  author={Carol Alexander and Arben Imeraj},
  journal={Derivatives eJournal},
Most trading in cryptocurrency options is on inverse products, so called because the contract size is denominated in US dollars and they are margined and settled in crypto, typically bitcoin or ether. Their popularity stems from allowing professional traders in bitcoin or ether options to avoid transferring fiat currency to and from the exchanges. We derive new analytic pricing and hedging formulae for inverse options under the assumption that the underlying follows a geometric Brownian motion… Expand


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  • 2017