This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying volatility can be modified and adapted in the proposed...

Technological innovation has changed the financial market significantly with the increasing application of high-frequency data in research and practice. This study examines the performance of intraday implied volatility (IV) in estimating currency options prices. Options quotations at a...