Table 3: Calibrated Parameters
|
Parameter |
Value |
Parameter |
Value |
|
Vt,0i |
0.011392 |
a |
0.353948 |
|
vt,02 |
0.010889 |
β |
9.561292 |
|
vt,оз |
0.008932 |
7 |
0.763721 |
|
υt,0i |
0.016582 |
P |
-0.692404 |
|
Vt,05 |
0.012725 | ||
|
vt,06 |
0.015280 | ||
Table 4: Pricing Errors: September Expiring OEX Options
|
June 30 |
July 1 |
July 2 |
July 6 |
July 7 |
July 8 |
July 9 | |
|
St |
553.87 |
549.01 |
547.17 |
543.33 |
544.25 |
540.21 |
542.63 |
|
X, type | |||||||
|
400, put |
... |
... |
... |
... |
0.116577 |
... |
0.170837 |
|
420, put |
... |
... |
0.467125 |
... |
... |
... |
... |
|
440, put |
0.272164 |
0.365445 |
0.337645 |
... |
... |
... |
... |
|
450, put |
... |
... |
0.578615 |
... |
0.476928 |
0.448424 |
... |
|
460, put |
0.477434 |
0.636137 |
... |
0.555188 |
0.561046 |
0.419271 |
... |
|
480, put |
0.233909 |
0.738647 |
... |
... |
0.561046 |
... |
0.926725 |
|
490, put |
... |
... |
0.795218 |
... |
... |
... |
... |
|
500, put |
... |
0.852520 |
0.544044 |
0.434873 |
0.339729 |
0.603371 |
0.735753 |
|
510, put |
0.694260 |
0.274149 |
... |
... |
0.101801 |
0.229474 |
0.419345 |
|
520, put |
-0.503378 |
-0.343453 |
0.302446 |
-0.048642 |
-0.521728 |
-0.126598 |
-0.174747 |
|
530, put |
-0.591617 |
... |
... |
0.175511 |
-0.740207 |
-0.090279 |
0.525561 |
|
540, put |
-2.429237 |
-0.154515 |
-1.027132 |
-1.014578 |
-1.725362 |
... |
-0.131715 |
|
550, put |
-2.538264 |
0.520023 |
-0.366053 |
-0.103850 |
-0.295665 |
-1.805092 |
... |
|
560, put |
-1.522215 |
... |
... |
-1.752594 |
... |
0.002115 |
-1.306124 |
|
580, put |
... |
-1.011618 |
... |
0.074978 |
... |
... |
... |
|
500, call |
... |
2.438584 |
... |
... |
... |
... |
... |
|
520, call |
... |
... |
... |
... |
... |
3.296368 |
... |
|
530, call |
... |
... |
... |
1.810402 |
3.058499 |
... |
... |
|
540, call |
1.619276 |
... |
1.490850 |
1.081886 |
2.824853 |
0.942793 |
1.105416 |
|
550, call |
1.902790 |
1.470218 |
0.824900 |
... |
... |
0.172171 |
0.736377 |
|
560, call |
0.590900 |
-0.086137 |
0.518619 |
0.387300 |
1.983925 |
-0.040926 |
0.415623 |
|
570, call |
0.673686 |
-0.082919 |
-0.062988 |
0.107370 |
0.934013 |
0.116647 |
0.351140 |
|
580, call |
0.035720 |
-0.205257 |
0.191112 |
... |
0.720421 |
0.001702 |
0.070248 |
|
590, call |
0.028256 |
-0.161321 |
-0.078389 |
... |
... |
0.109251 |
0.073845 |
|
600, call |
-0.202037 |
-0.190903 |
... |
... |
... |
... |
-0.075595 |
Table 5: RMSE’s: OEX Options, by Expiration Month and Trading Day
|
June 30 |
July 1 |
July 2 |
July 6 |
July 7 |
July 8 |
July 9 | |
|
July |
0.563594 |
0.729401 |
0.555327 |
0.640847 |
0.529694 |
1.097807 |
0.271871 |
|
August |
1.316759 |
0.408102 |
0.490070 |
0.367468 |
0.686766 |
0.419591 |
0.311062 |
|
September |
1.203947 |
0.849578 |
0.659790 |
0.878324 |
1.394570 |
1.029171 |
0.617068 |
|
October |
0.442581 |
1.059348 |
0.551232 |
0.387529 |
1.425867 |
0.633056 |
0.563490 |
|
December |
2.024635 |
2.129737 |
1.723453 |
1.578420 |
1.229747 |
0.984973 |
1.707936 |
23