Pricing European Currency Options with High-Frequency Data

Technological innovation has changed the financial market significantly with increasing application of high-frequency data in research and practice. This study examines performance intraday implied volatility (IV) estimating currency options prices. Options quotations at a different trading time, such as opening period, midday period closing day one-month, two months’ three maturity, are employed to compute IV for pricing options. We use Mincer–Zarnowitz regression test analyse forecast power horizons (within week, one week month). Intraday IV’s capability price is measured by mean squared error, absolute error percentage measure. The empirical findings show that key accurately forecasting prices precisely. Moreover, beginning contains crucial information estimation. Furthermore, shorter maturity suitable horizon. In comparison, based on longer subsumes appropriate higher accuracy Our paper proposes new approach using data.