Here is a question i had for a long time but i never asked. Let's take an easy example, AirBnb will likely have an IPO soon, the stock will be quoted on the market. Let's say i would like to price an option on this stock, how would i proceed ?
For sure i could sell some with a premium equal to the spot, and wait for the secondary market to adjust, and then extract the IV to do a better pricing, but i would still need to find people to buy at that price.
So in practice how does it work, there is no underlying historical data, nor implied volatility available.
Do you have an idea ?