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
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|---|---|
| Authors: | Echenim, Mnacho ; Gobet, Emmanuel ; Maurice, Anne-Claire |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 9, p. 1285-1304
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2229022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014339922