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

Quantitative Finance, 2023, vol. 23, issue 9, 1285-1304

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 ordinary one based on trade and mid-prices.

Date: 2023
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DOI: 10.1080/14697688.2023.2229022

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