|
K |
Sigma |
t (yrs) |
B&S |
CC (2008) |
|
40 |
0.2 |
0.0833 |
0.8403 |
0.838 |
|
40 |
0.2 |
0.3333 |
1.5221 |
1.472 |
|
40 |
0.2 |
0.5833 |
1.8812 |
1.802 |
|
45 |
0.2 |
0.0833 |
4.8399 |
4.837 |
|
45 |
0.2 |
0.3333 |
4.7804 |
4.771 |
|
45 |
0.2 |
0.5833 |
4.84 |
4.813 |
|
40 |
0.3 |
0.0833 |
1.2988 |
1.297 |
|
40 |
0.3 |
0.3333 |
2.4275 |
2.426 |
|
40 |
0.3 |
0.5833 |
3.0634 |
3.062 |
|
45 |
0.3 |
0.0833 |
4.9796 |
4.976 |
|
45 |
0.3 |
0.3333 |
5.5288 |
5.517 |
|
45 |
0.3 |
0.5833 |
5.9723 |
5.946 |
|
40 |
0.4 |
0.0833 |
1.7575 |
1.758 |
|
40 |
0.4 |
0.3333 |
3.3336 |
3.3335 |
|
40 |
0.4 |
0.5833 |
4.2473 |
4.246 |
|
45 |
0.4 |
0.0833 |
5.236 |
5.235 |
|
45 |
0.4 |
0.3333 |
6.3767 |
6.359 |
|
45 |
0.4 |
0.5833 |
7.1654 |
7.131 |
|
ABE |
0.0151 |
Table 1
Column 4 shows the results using the Black and Scholes (1973) method.
Column 5 shows the results using our suggested method (Caporale and Cerrato - CC).
RMSE at the bottom of the table is the root mean square error.
16
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