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A Cost of Carry-Based Framework for the Bitcoin Futures Price Modeling

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Document pages: 12 pages

Abstract: In this study, we make use of both the specific method of Monte Carlo simulationand the spot-futures parity with the cost of carry to establish a dynamicprice model of Bitcoin futures and to conduct the appraisals and numericalanalyses. More specifically, the electricity fees and equipment costs are takeninto account and the proposed model is thereby built. Numerical results showthat various cost factors have significant effects on the Bitcoin futures price.We employ Monte Carlo simulation to approximate the Bitcoin futures priceand we use Python to program the computations.

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