A methodology for pricing gas options in blockchain protocols

【Author】 Madrigal-Cianci, Juan P.; Maya, Camilo Monsalve; Breakey, Lachlan

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We propose a novel data-driven methodology for pricing derivatives on blockchain transaction fees in protocols that use an EIP-1559-like transaction fee mechanism. Our approach models the base fee process as a Markov chain driven by relative block usage, estimated from empirical data via a Gaussian Mixture Model. We then apply risk-neutral valuation through Monte Carlo simulations. Our results suggest that our approach captures observed fee volatility better than other available continuous-time models.

【Keywords】Cryptocurrencies; Option pricing; Monte Carlo methods; Financial simulations; Blockchains

【发表时间】2025 NOV

【收录时间】2025-06-28

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