BOHR International Journal of Finance and Market Research

Neural network utilizes the huge amount of data for analysis and prediction. This paper predicts option
prices and volatility using neutral network based on high frequency intraday data. We focus on short term prediction
because option prices and volatility in fact are very volatile and almost impossible to predict. We find that neural
network is able to predict option prices and volatility by using predictors constructed from the prices of option and
its underlining index, especially in short term which is what practitioners care about more in practice.