Option Pricing Based on Modified Advection-Dispersion Equation: Stochastic Representation and Applications

Table 1

Price for SPDR S&P500 ETF call option.

K	Real price	α-BS ()	BS price
286	3.89	3.4576	3.2458
287	3.14	2.7863	2.5489
288	2.44	2.1955	1.9432
289	1.9	1.6888	1.4346
290	1.45	1.2664	1.0232
291	1.02	0.9245	0.7035
292	0.69	0.6562	0.4655
293	0.48	0.4524	0.2959
294	0.3	0.3027	0.1804
295	0.2	0.1963	0.1054
296	0.11	0.1234	0.059