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...

Full description

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

Similar Items

An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options
by: Thi Le, et al.
Published: (2021-01-01)

Uncertain Currency Option Pricing Based on the Fractional Differential Equation in the Caputo Sense
by: Qinyu Liu, et al.
Published: (2022-07-01)

Pricing of foreign currency options in the Serbian market
by: Janković Irena
Published: (2009-01-01)

Exponential integral method for European option pricing
by: Xun Lu, et al.
Published: (2025-06-01)

Inverse volatility problem for currency options
by: Ian Knowles, et al.
Published: (2023-03-01)

Arbitrage Bounds on Currency Basket Options
by: Yi Hong
Published: (2020-09-01)

Influence of stochastic volatility for option pricing
by: Akvilina Valaitytė, et al.
Published: (2004-12-01)

Influence of stochastic volatility for option pricing
by: Akvilina Valaitytė, et al.
Published: (2004-12-01)

Application of Extended Normal Distribution in Option Price Sensitivities
by: Gangadhar Nayak, et al.
Published: (2024-07-01)

Pricing European and American Installment Options
by: Joanna Goard, et al.
Published: (2022-09-01)

Taylor expansion for derivative securities pricing as a precondition for strategic market decisions
by: Ivan Burtnyak, et al.
Published: (2018-03-01)

Approaches to forecasing option volatility
by: A. V. Azatskiy
Published: (2018-10-01)

The Islamic Hedging Management: Paving the Way for Innovation in Currency Options
by: Nadhirah Nordin, et al.
Published: (2014-06-01)

Capability of creating an optional unified currency between Egypt and Sudan
by: ayman salah eldin ibrahim
Published: (2024-07-01)

Insider Trading and Intraday Stock Price Behavior on the Tehran Stock Exchange
by: Ali Ebrahimnejad, et al.
Published: (2020-05-01)

New developments in econophysics: Option pricing formulas
by: Moawia Alghalith
Published: (2022-09-01)

Deep Learning in Financial Modeling: Predicting European Put Option Prices with Neural Networks
by: Zakaria Elbayed, et al.
Published: (2025-03-01)

A second-order ADI method for pricing options under fractional regime-switching models
by: Ming-Kai Wang, et al.
Published: (2023-02-01)

Option Pricing with Stochastic Volatility and Jump Diffusion Processes
by: Radu Lupu
Published: (2006-03-01)

Analysis Of Theeffectof Inflation, BI Rate On Stock Price Volatility Through Currency Exchange As Intervening Variable In Consumer Goods Industry In IDX
by: Nely Supeni, et al.
Published: (2020-03-01)

Pricing the European call option in the model with stochastic volatility driven by Ornstein–Uhlenbeck process. Exact formulas
by: Sergii Kuchuk-Iatsenko, et al.
Published: (2015-09-01)

Pricing Options with Vanishing Stochastic Volatility
by: Loretta Mastroeni
Published: (2022-09-01)

Sweetness by the pound: Sugar and currency correlations in pre-Brexit UK prices
by: Chase Christopher Cicchetti
Published: (2022-03-01)

Predictive accuracy of option pricing models considering high-frequency data
by: Josip Arnerić, et al.
Published: (2021-01-01)

The Impact of Consumer Currency Perception on Price Sensitivity
by: Mohsen Nazari, et al.
Published: (2013-08-01)

The Impact of Consumers Currency Perception on Price Sensitivity
by: Mohsen Nazari, et al.
Published: (2013-01-01)

Upside and downside correlated jump risk premia of currency options and expected returns
by: Jie-Cao He, et al.
Published: (2023-05-01)

Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities
by: Daniel Guterding
Published: (2023-04-01)

Pricing European Options under a Fuzzy Mixed Weighted Fractional Brownian Motion Model with Jumps
by: Feng Xu, et al.
Published: (2023-11-01)

An analytical approximation formula for European option prices under a liquidity-adjusted non-affine stochastic volatility model
by: Shoude Huang, et al.
Published: (2022-03-01)

BALANCED MODEL OF EXCHANGE OPTION PRICE
by: Vladimir A. Galanov
Published: (2017-09-01)

Machine Learning to Compute Implied Volatility from European/American Options Considering Dividend Yield
by: Shuaiqiang Liu, et al.
Published: (2020-09-01)

Linking Futures and Options Pricing in the Natural Gas Market
by: Francesco Rotondi
Published: (2025-06-01)

Intraday patterns of price clustering in Bitcoin
by: Donglian Ma, et al.
Published: (2022-01-01)

Deep Learning Artificial Neural Network for Pricing Multi-Asset European Options
by: Zhiqiang Zhou, et al.
Published: (2025-02-01)

Three-Layer Artificial Neural Network for Pricing Multi-Asset European Option
by: Zhiqiang Zhou, et al.
Published: (2024-09-01)

Cryptocurrencies Intraday High-Frequency Volatility Spillover Effects Using Univariate and Multivariate GARCH Models
by: Apostolos Ampountolas
Published: (2022-07-01)

An Advanced Time-Varying Capital Asset Pricing Model via Heterogeneous Autoregressive Framework: Evidence from the Chinese Stock Market
by: Bohan Zhao, et al.
Published: (2024-12-01)

Exotic option pricing model of the Black–Scholes formula: a proactive investment strategy
by: Jingyu Wu, et al.
Published: (2023-06-01)

PRICING OF THE ASIAN OPTION WITH THE KAMRAD-RITCHKEN’S TRINOMIAL MODEL
by: Jihan Nabila Wafa’, et al.
Published: (2025-07-01)