Pricing European Currency Options with High-Frequency Data

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 different tr...

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Bibliographic Details

Published in:	Risks
Main Authors:	Thi Le, Ariful Hoque
Format:	Article
Language:	English
Published:	MDPI AG 2022-11-01
Subjects:	high-frequency data intraday IV European currency options pricing realised volatility
Online Access:	https://www.mdpi.com/2227-9091/10/11/208