Ln (41.85/40) / ln (60/40) = 11.2%
It’s not the logarithm of the BTC price that is a martingale, it’s the BTC price itself, under a risk-neutral measure if that makes you more comfortable (since BTC derivatives would be priced by the same risk-neutral measure pricing BTC itself).
Ln (41.85/40) / ln (60/40) = 11.2%
It’s not the logarithm of the BTC price that is a martingale, it’s the BTC price itself, under a risk-neutral measure if that makes you more comfortable (since BTC derivatives would be priced by the same risk-neutral measure pricing BTC itself).