Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes-Reference-Cited by-同舟云学术

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

Published:2023-07-20 Issue:9 Volume:23 Page:1285-1304
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Echenim Mnacho¹,Gobet Emmanuel²,Maurice Anne-Claire³

Affiliation:

1. Laboratoire d'Informatique de Grenoble (LIG), CNRS, Grenoble INP, UGA, Domaine Universitaire, 700 avenue Centrale, Saint Martin d'Hères 38401, France

2. Centre de Mathématiques Appliquées (CMAP), CNRS, Ecole Polytechnique, Institut Polytechnique de Paris, Route de Saclay, Palaiseau Cedex 91128, France

3. Kaiko – Quantitative Data, 2 rue de Choiseul, Paris 75002, France

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2229022

Reference38 articles.

1. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

2. The Smile in Stochastic Volatility Models

3. Asymptotic and non asymptotic approximations for option valuation

4. Analytical approximations of local-Heston volatility model and error analysis

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Analysis of Hedging Strategies for Multiple Options in the BTC Market Using Deep Smoothing and Deep Hedging;Transactions of the Japanese Society for Artificial Intelligence;2024-07-01

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