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arXiv · 2207.02989

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

Mnacho Echenim·Emmanuel Gobet·Anne-Claire Maurice
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Abstract

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 standard one based on trade and mid-prices.

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Mnacho Echenim, Emmanuel Gobet, Anne-Claire Maurice. 2022-07-06. Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes. https://arxiv.org/abs/2207.02989

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