Research Article
Lévy Process-Driven Asymmetric Heteroscedastic Option Pricing Model and Empirical Analysis
Table 2
The error of different option pricing models.
| | Model | | | | Average |
| | HN-GARCH | 40.50% | 26.52% | 31.30% | 32.78% | | EGARCH-Lévy-NIG | 51.17% | 16.41% | 19.08% | 28.89% | | Dynamic EGARCH- Lévy-NIG | 15.30% | 13.38% | 16.58% | 15.08% | | EGARCH-Lévy-VG | 54.70% | 16.66% | 19.14% | 30.17% | | Dynamic EGARCH-Lévy-VG | 38.94% | 13.67% | 16.59% | 23.07% |
| | Mean | 40.12% | 17.33% | 20.54% | 25.99% |
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