Bitcoin Treasury Company

Abstract

We introduce a model-free structural framework to value liabilities of firms whose primary assets are digital assets typically Bitcoin. Our no-arbitrage approach prices convertible debts and extracts the risk-neutral probabilities of their terminal states using the market information of Bitcoin options, thereby bypassing the restrictive assumptions of traditional structural models. We perform comparative statics analysis to demonstrate how the resulting bond spreads and option values are structurally determined. We then test the framework in a real-world case study of MicroStrategy's convertible bonds, finding that it generates accurate, market-consistent valuations in an out-of-sample setting. Together, our theoretical and empirical results establish a robust, market-based blueprint for pricing the emerging class of crypto-backed credit in general.