.... Since the introduction of exchange-traded options to the Indian market, to the best of our knowledge, no study for option pricing with the B-S model has been conducted using the superior volatility estimates based on the high-frequency data. We conduct a test of the performance of the B-S model using...

...&P 500 index and the Chicago Board Options Exchange (CBOE) implied (or expected) volatility index (VIX). Design/methodology/approach A primary purpose of the paper is to provide a framework for using intraday high‐frequency data of both the indices' estimates, in particular, for improving...