A practical question. When you calibrate an option pricer (whatever the model is), do you use data from several days or just one day (last trading day)? I noted some papers use data from one single day (with the expiries traded that day), however others use a data set that includes a bunch of days (with their respectives expiries).

PD: I imagine data from last trading day would be more relevant for traders, but some options have less transactions by expiries so I wonder if I can use data from several days to obtain the parameters of a pricing model.


Your Answer

By clicking "Post Your Answer", you acknowledge that you have read our updated terms of service, privacy policy and cookie policy, and that your continued use of the website is subject to these policies.

Browse other questions tagged or ask your own question.