| Abstract: |
| This paper tackles the problem of optimal stopping on building a Bitcoin mining farm based on the real options framework. The framework uses the LSM method to value the spread option between stochastic Bitcoin and electricity price. Bitcoin prices and electricity prices are simulated for a farm in Texas and the option valuation framework is studied over time for a given project lifetime. We present option values for different scenarios for Bitcoin and electricity while also back-testing the model. |
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