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You need to see the deals on these options and/or have deep knowledge of how these prices are marked to be able to have a better model. First thing first, I believe that the prices that you see are usually either "marked" (set) by one or several treaders, or they are the prices on last transaction before the close of the market/first transaction of the day ...


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This is a very broad question and a large number of issues have been discussed in the literature. As such, it's hard to give specific advice except that it is better to model returns instead of prices directly. What I would do if I were you: Read some of the available literature to get a good overview. This is an interesting paper but many more exist. ...



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