Zulfiqar, Noshaba; Gulzar, Saqib - In: Financial innovation : FIN 7 (2021), pp. 1-30
are compared with benchmark Black-Scholes implied volatility values for accuracy and efficiency analysis. This study has … two aims: (1) to provide insights into the volatility smile in Bitcoin options and (2) to estimate the implied volatility … implied volatility of Bitcoin options. However, the Newton Raphson forecasting technique converges faster than does the …