This paper proposes a new model that captures the interaction between duration and magnitude of changes in asset prices, and thus provides a convenient framework to test statistically the existence of such relationship. The model is flexible and contains various well known models as special...

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...