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

Mnacho Echenim, Emmanuel Gobet and Anne-Claire Maurice

Year of publication:	2023
Authors:	Echenim, Mnacho ; Gobet, Emmanuel ; Maurice, Anne-Claire
Subject:	Bid-ask spread \| Calibration \| Crypto-assets \| Data augmentation \| Implied volatility \| Missing data \| Volatilität \| Volatility \| Geld-Brief-Spanne \| Virtuelle Währung \| Virtual currency \| Schätzung \| Estimation \| Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading

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