Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes (Q6053111)
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scientific article; zbMATH DE number 7742086
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes |
scientific article; zbMATH DE number 7742086 |
Statements
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes (English)
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25 September 2023
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implied volatility
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calibration
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bid-ask spread
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missing data
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data augmentation
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crypto-assets
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