Author(s)

Yu-Min Lian, Chi-Hung Cheng, Shih-Hsun Lin, Jui-Hsuan Lin

Department of Business Administration, Fu Jen Catholic University, New Taipei City.

In this study, we make use of both the specific method of Monte Carlo simulation and the spot-futures parity with the cost of carry to establish a dynamic price model of Bitcoin futures and to conduct the appraisals and numerical analyses. More specifically, the electricity fees and equipment costs are taken into account and the proposed model is thereby built. Numerical results show that various cost factors have significant effects on the Bitcoin futures price. We employ Monte Carlo simulation to approximate the Bitcoin futures price and we use Python to program the computations.

Bitcoin Futures Price, Monte Carlo Simulation, Spot-Futures Parity, Cost of Carry, Geometric Brownian Motion

Lian, Y. , Cheng, C. , Lin, S. and Lin, J. (2019) A Cost of Carry-Based Framework for the Bitcoin Futures Price Modeling. Journal of Mathematical Finance, 9, 42-53. doi: 10.4236/jmf.2019.91004.