European Option Pricing Formula in Risk-Aversive Markets

Table 1

Parameter estimation of , , and for call options.

0.0030	2018/09/26	2.75	2.512	0.0630	−1.8013	−1.7512	−1.7012
0.0073	2018/09/26	2.70	2.512	0.0630	−1.4347	−1.3847	−1.3346
0.0146	2018/09/26	2.65	2.512	0.0630	−1.0613	−1.0112	−0.9612
0.0150	2018/10/24	2.75	2.512	0.1397	−1.2038	−1.1293	−1.0547
0.0159	2018/12/26	2.95	2.512	0.3123	−1.4263	−1.3149	−1.2035
0.0220	2018/12/26	2.90	2.512	0.3123	−1.2729	−1.1615	−1.0501
0.0228	2018/10/24	2.70	2.512	0.1397	−0.9576	−0.8831	−0.8086
0.0275	2018/09/26	2.60	2.512	0.0630	−0.6807	−0.6307	−0.5806
0.0287	2018/12/26	2.85	2.512	0.3123	−1.1169	−1.0054	−0.8940
0.0350	2018/10/24	2.65	2.512	0.1397	−0.7068	−0.6323	−0.5578
0.0372	2018/12/26	2.80	2.512	0.3123	−0.9580	−0.8466	−0.7352
0.0451	2018/09/26	2.55	2.512	0.0630	−0.2928	−0.2427	−0.1927
0.0484	2018/12/26	2.75	2.512	0.3123	−0.7964	−0.6849	−0.5735
0.0500	2018/10/24	2.60	2.512	0.1397	−0.4513	−0.3767	−0.3022
0.0601	2018/12/26	2.70	2.512	0.3123	−0.6317	−0.5203	−0.4088
0.0695	2018/09/26	2.50	2.512	0.0630	0.1028	0.1529	0.2029
0.0698	2018/10/24	2.55	2.512	0.1397	−0.1908	−0.1162	−0.0417
0.0742	2019/03/27	2.80	2.512	0.5616	−0.7049	−0.5555	−0.4061
0.0756	2018/12/26	2.65	2.512	0.3123	−0.4640	−0.3525	−0.2411
0.0878	2019/03/27	2.75	2.512	0.5616	−0.5844	−0.4349	−0.2855
0.0938	2018/12/26	2.60	2.512	0.3123	−0.2930	−0.1816	−0.0701
0.0944	2018/10/24	2.50	2.512	0.1397	0.0749	0.1495	0.2240
0.0980	2018/09/26	2.45	2.512	0.0630	0.5064	0.5565	0.6066
0.1026	2019/03/27	2.70	2.512	0.5616	−0.4616	−0.3121	−0.1627
0.1149	2018/12/26	2.55	2.512	0.3123	−0.1188	−0.0073	0.1041
0.1190	2019/03/27	2.65	2.512	0.5616	−0.3365	−0.1870	−0.0376
0.1247	2018/10/24	2.45	2.512	0.1397	0.3460	0.4205	0.4950
0.1361	2018/09/26	2.40	2.512	0.0630	0.9184	0.9684	1.0185
0.1380	2019/03/27	2.60	2.512	0.5616	−0.2090	−0.0596	0.0899
0.1390	2018/12/26	2.50	2.512	0.3123	0.0589	0.1704	0.2818
0.1592	2018/10/24	2.40	2.512	0.1397	0.6226	0.6971	0.7717
0.1623	2019/03/27	2.55	2.512	0.5616	−0.0791	0.0704	0.2198
0.1671	2018/12/26	2.45	2.512	0.3123	0.2402	0.3517	0.4631
0.1770	2018/09/26	2.35	2.512	0.0630	1.3390	1.3891	1.4391
0.1861	2019/03/27	2.50	2.512	0.5616	0.0534	0.2029	0.3523
0.1968	2018/10/24	2.35	2.512	0.1397	0.9051	0.9796	1.0541
0.1981	2018/12/26	2.40	2.512	0.3123	0.4253	0.5367	0.6481
0.2110	2019/03/27	2.45	2.512	0.5616	0.1886	0.3381	0.4875
0.2209	2018/09/26	2.30	2.512	0.0630	1.7687	1.8187	1.8688
0.2297	2018/12/26	2.35	2.512	0.3123	0.6142	0.7256	0.8371
0.2360	2018/10/24	2.30	2.512	0.1397	1.1936	1.2681	1.3427
0.2421	2019/03/27	2.40	2.512	0.5616	0.3266	0.4761	0.6255
0.2660	2018/12/26	2.30	2.512	0.3123	0.8072	0.9186	1.0300
0.2704	2018/09/26	2.25	2.512	0.0630	2.2078	2.2578	2.3079
0.2767	2019/03/27	2.35	2.512	0.5616	0.4675	0.6169	0.7664
0.3074	2018/12/26	2.25	2.512	0.3123	1.0044	1.1158	1.2273
0.3163	2018/09/26	2.20	2.512	0.0630	2.6567	2.7068	2.7568
0.3450	2019/03/27	2.25	2.512	0.5616	0.7585	0.9079	1.0574