Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing. (arXiv:2208.12614v1 [q-fin.CP])

The increasing adoption of Digital Assets (DAs), such as Bitcoin (BTC), rises
the need for accurate option pricing models. Yet, existing methodologies fail
to cope with the volatile nature of the emerging DAs. Many models have been
proposed to address the unorthodox market dynamics and frequent disruptions in
the microstructure caused by the non-stationarity, and peculiar statistics, in
DA markets. However, they are either prone to the curse of dimensionality, as
additional complexity is required to employ traditional theories, or …

arxiv crypto pricing stochastic