European Option pricer is calibrated on Deribit options
- Spot is equal to the current Deribit BTCUSD Index - it is an actual underlying of options
- Calibration is based on the model introduced in our whitepaper
Two major possibilities are provided:
- Repricing of standard Deribit options
- Arbitrary maturity and strike
Extensions are under way:
- Greeks (delta, gamma, vega)
- Scenario plugs (parameters change)