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.


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