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
Schlagworte:	Applications Bid-ask spread Calibration Computational Finance Crypto-assets Data augmentation Implied volatility Missing data Quantitative Finance Statistics
Online-Zugang:	Volltext
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