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(Crypto) Currencies - Risk Profiling and Pricing of a European Style Double-Knock-Out Barrier Option on Bitcoin
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(Crypto) Currencies - Risk Profiling and Pricing of a European Style Double-Knock-Out Barrier Option on Bitcoin

A european style double-knock-out option on Bitcoin with american style barriers is priced and sensivities (greeks) are derived numerically. The 99.9% value-at-risk ist calculated based on a historical simulation. The option's strike is at 40,000 and the barriers are at 20,000 and 70,000, the tenor is one year.