Pricing of futures Bitcoin price under fractional volatility

Abstract

Abstract Volatility of Bitcoin has a long memory, we modeled such a character using FIGARCH processes, afteward we went on for pricing Futures and Options, the price of Futures depends on many factors in the market, we have proposed a model for futures contracts which links their price to spot price and volatility, after calibrating our model the result was consistent with market values, the pandemic of Covid which started earlier in 2020 after hitting the district of Wuhan just before; had not really an effect on derivatives markets until july 2021 when the market started a downward trend. We price Options using a sample of volatilities that we consider determinstic for a matter of calculous. We finally compare our model for Futures to the same model but with a constant volatility. JEL Classification. G13