Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes

We design a novel calibration procedure that is designed to handle the specific characteristics of options on cryptocurrency markets, namely large bid-ask spreads and the possibility of missing or incoherent prices in the considered data sets. We show that this calibration procedure is significantly...

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Veröffentlicht in:Quantitative finance 2023-09, Vol.23 (9), p.1285-1304
Hauptverfasser: Echenim, Mnacho, Gobet, Emmanuel, Maurice, Anne-Claire
Format: Artikel
Sprache:eng
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Zusammenfassung:We design a novel calibration procedure that is designed to handle the specific characteristics of options on cryptocurrency markets, namely large bid-ask spreads and the possibility of missing or incoherent prices in the considered data sets. We show that this calibration procedure is significantly more robust and accurate than the ordinary one based on trade and mid-prices.
ISSN:1469-7688
1469-7696
DOI:10.1080/14697688.2023.2229022