Review Reports

Round 1

Reviewer 1 Report (Previous Reviewer 2)

I have checked the revised version. I am happy with the corrections in the revised manuscript. It was improved. So, the current version of this manuscript is suitable for publication. 

 

Author Response

No changes.

Reviewer 2 Report (New Reviewer)

The research provides a sound theoretical framework for engaging the question of Ether valuation and Ether Derivatives. 

The paper needs some updating, particularly with regard to valuation changes over the last two years - this doesn't affect the premise of the article, but the introduction should be rewritten to reflect this. Also, the second paragraph of the introduction refers to cryptocurrencies as having a 'fixed supply' - this is not strictly true, as Ether itself doesn't fall under this particular constraint. 

The research motivation is driven (p.2 - 3) by the inapplicability of traditional option models due to ether's 'highly risk and constantly fluctuating prices'. While certainly true, cryptocurrency is best thought of as a separate asset class, where research has sought to adapt models from other financial assets (equity valuation, currency valuation, and FX dynamics). It's also likely that additional regulation and acceptance of cryptocurrency will reduce volatility. However, I think it's fair to justify the paper's treatment of valuation because it has these underlying characteristics.  

 

Author Response

Paragraph 1 on page 1 has been modified in yellow to describe bitcoin values over the past 2 years.
Paragraph 2, on page 1,  has additional statements in yellow, stating that ether does not have fixed supply, and that volatility prevents cryptocurrencies from being valued by traditional option pricing models.

Author Response File: Author Response.docx

This manuscript is a resubmission of an earlier submission. The following is a list of the peer review reports and author responses from that submission.

Round 1

Reviewer 1 Report

The introduction section of the paper is very good.

However, starting with section 2 the equations are broken up to a degree that makes it impossible to read the paper. Even the explanations of the equations starting with equation 2 are inadequate and must be completely rewritten. In its current  form I cannot read the paper and must recommend rejection.

Author Response

See attached file, with changes in yellow. The paper was rewritten for c;larity.

Author Response File: Author Response.docx

Reviewer 2 Report

Review Report: jrfm-1934937

This paper purposes new quantitative models to value ether, ether futures, and ether options, based upon the ability of cryptocurrencies to transform existing intermediary-verified payments to non-intermediary-based currency transfers, the ability of ether as a late mover to displace bitcoin as the first mover, and the valuation of ether in the context of investor irrationality models. 

In my opinion, the paper offers a good contribution. So, I recommend accepting this paper, but after making the following modifications:

1-     I think that the title of the paper should be modified to match the content of the paper.

2-     In some equations, there are symbols that are not defined. Please correct this.

3-     In “Introduction” and “Literature Review” sections, authors should add more papers about this issue.

4-     The paper does not contain an empirical application or numerical example to check or evaluates the proposed quantitative models.

5-     I think there are more statistical details in “Findings and Analysis” section, so this section needs some modifications. I think authors should put the statistical details in an “Appendix” or "Supporting Information File".

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Author Response

See changes in green in the manuscript file.

 

Reviewer 2. See text in green.

 

The title has been modified, as per the reviewer’s wishes. See page 1.

 

Symbols have been defined in Equations 1-21 on pages 5-15, in accordance with the reviewer’s wishes.

 

Literature has been added to the Introduction, and Literature Review on pages 1, 2, and 3. This is colored in yellow. This is in accordance with the reviewer’s wishes.

 

The reviewer asked for empirical validation or a numerical example of the proposed models. See Tabl1 and Section 6, on pages 20-24.

 

The reviewer wanted statistical details moved to an Appendix. Appendix 1-6 has been created on pages 20-24, with statistical details.

Author Response File: Author Response.docx

Reviewer 3 Report

Please refer to the attached document.

Comments for author File: Comments.pdf

Round 2

Reviewer 2 Report

I have checked the revised version. I am happy with the corrections in the revised manuscript. It was improved. So, the current version of this manuscript is suitable for publication.