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Communication Dans Un Congrès Année : 2022

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

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hal-04506993 , version 1 (15-03-2024)

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  • HAL Id : hal-04506993 , version 1

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Mnacho Echenim, Emmanuel Gobet, Anne-Claire Maurice. Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes. Research in Options, FGV-IMPA, Aug 2022, Rio de Jaineiro, Brazil. ⟨hal-04506993⟩
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