Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
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References listed on IDEAS
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More about this item
Keywords
implied volatility; calibration; bid-ask spread; missing data; data augmentation;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-PAY-2022-08-15 (Payment Systems and Financial Technology)
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