European Option Pricing Formula in Risk-Aversive Markets

Table 4

Pricing results by our pricing formula and the Black–Scholes model for put options.

2018/12/26	2.50	2.55	0.3096	0.1927	0.3043	0.4158	0.0963	0.0839	0.0983
2019/03/27	2.30	2.55	0.5589	0.7088	0.8587	1.0086	0.0583	0.0478	0.0635
2019/03/27	2.25	2.55	0.5589	0.8554	1.0053	1.1552	0.0463	0.0364	0.0520
2018/12/26	2.20	2.55	0.3096	1.3386	1.4501	1.5617	0.0186	0.0104	0.0205
2018/12/26	2.90	2.55	0.3096	−1.1377	−1.0262	−0.9146	0.3631	0.3568	0.3618
2018/09/26	2.30	2.55	0.0603	2.1029	2.1521	2.2014	0.0050	0.0007	0.0030
2018/09/26	3.20	2.55	0.0603	−4.6060	−4.5568	−4.5076	0.6473	0.6471	0.6437
2018/10/24	2.70	2.55	0.1370	v0.7601	−0.6859	−0.6117	0.1831	0.1703	0.1724
2018/09/26	2.50	2.55	0.0603	0.4090	0.4582	0.5074	0.0440	0.0278	0.0359
2018/09/26	2.65	2.55	0.0603	−0.7747	−0.7255	−0.6763	0.1282	0.1140	0.1191
2019/03/27	2.55	2.55	0.5589	0.0204	0.1703	0.3202	0.1521	0.1413	0.1569
2018/10/24	2.60	2.55	0.1370	−0.2516	−0.1774	−0.1031	0.1162	0.1005	0.1054
2018/09/26	2.20	2.55	0.0603	3.0060	3.0552	3.1044	0.0012	0.0000	0.0010
2019/03/27	2.40	2.55	0.5589	0.4249	0.5748	0.7246	0.0887	0.0775	0.0939
2019/03/27	2.60	2.55	0.5589	−0.1091	0.0408	0.1907	0.1780	0.1677	0.1829
2018/09/26	2.85	2.55	0.0603	−2.2529	−2.2036	−2.1544	0.3010	0.2980	0.2955
2018/12/26	2.40	2.55	0.3096	0.5586	0.6702	0.7817	0.0605	0.0475	0.0607
2019/03/27	2.45	2.55	0.5589	0.2873	0.4372	0.5871	0.1074	0.0962	0.1121
2019/03/27	2.65	2.55	0.5589	−0.2362	−0.0863	0.0636	0.2062	0.1967	0.2094
2019/03/27	2.80	2.55	0.5589	−0.6035	−0.4536	−0.3038	0.3040	0.2973	0.3078
2018/09/26	2.45	2.55	0.0603	0.8194	0.8686	0.9179	0.0277	0.0140	0.0219
2018/12/26	2.95	2.55	0.3096	−1.2909	−1.1794	−1.0678	0.4061	0.4013	0.4056
2018/12/26	2.25	2.55	0.3096	1.1371	1.2487	1.3602	0.0257	0.0161	0.0271
2018/09/26	2.80	2.55	0.0603	−1.8933	−1.8441	−1.7948	0.2541	0.2490	0.2486
2018/10/24	2.65	2.55	0.1370	−0.5083	−0.4340	−0.3598	0.1478	0.1332	0.1339
2018/12/26	2.75	2.55	0.3096	−0.6616	−0.5501	−0.4385	0.2446	0.2341	0.2387
2018/12/26	2.85	2.55	0.3096	−0.9818	−0.8703	−0.7587	0.3217	0.3140	0.3201
2018/09/26	2.70	2.55	0.0603	−1.1545	−1.1053	−1.0560	0.1668	0.1557	0.1585
2018/09/26	3.50	2.55	0.0603	−6.4265	−6.3773	−6.3280	0.9470	0.9468	0.9443
2019/03/27	2.35	2.55	0.5589	0.5653	0.7152	0.8651	0.0724	0.0614	0.0784
2018/10/24	2.55	2.55	0.1370	0.0101	0.0843	0.1585	0.0889	0.0728	0.0788
2018/12/26	2.70	2.55	0.3096	−0.4972	−0.3856	−0.2740	0.2096	0.1979	0.2079
2018/10/24	2.75	2.55	0.1370	−1.0074	−0.9332	−0.8590	0.2219	0.2110	0.2120
2018/12/26	2.45	2.55	0.3096	0.3738	0.4854	0.5969	0.0776	0.0640	0.0782
2018/10/24	2.40	2.55	0.1370	0.8271	0.9013	0.9755	0.0333	0.0204	0.0260
2018/09/26	3.10	2.55	0.0603	−3.9610	−3.9118	−3.8626	0.5474	0.5472	0.5451
2018/10/24	2.50	2.55	0.1370	0.2770	0.3512	0.4254	0.0661	0.0503	0.0569
2018/09/26	3.30	2.55	0.0603	−5.2311	−5.1819	−5.1327	0.7472	0.7470	0.7420
2018/10/24	2.30	2.55	0.1370	1.4006	1.4748	1.5490	0.0149	0.0063	0.0108
2018/12/26	2.35	2.55	0.3096	0.7473	0.8589	0.9705	0.0463	0.0343	0.0467
2018/09/26	2.40	2.55	0.0603	1.2383	1.2875	1.3368	0.0166	0.0062	0.0118
2018/09/26	3.40	2.55	0.0603	−5.8376	−5.7884	−5.7392	0.8471	0.8469	0.8453
2018/09/26	2.60	2.55	0.0603	−0.3878	−0.3386	−0.2893	0.0943	0.0779	0.0844
2018/09/26	2.25	2.55	0.0603	2.5494	2.5986	2.6479	0.0025	0.0002	0.0015
2018/10/24	2.35	2.55	0.1370	1.1108	1.1850	1.2592	0.0226	0.0118	0.0178
2019/03/27	2.70	2.55	0.5589	−0.3609	−0.2110	−0.0611	0.2368	0.2280	0.2402
2018/09/26	2.35	2.55	0.0603	1.6660	1.7152	1.7645	0.0094	0.0023	0.0065
2018/09/26	2.95	2.55	0.0603	−2.9535	−2.9042	−2.8550	0.3982	0.3974	0.3921
2018/10/24	2.45	2.55	0.1370	0.5492	0.6234	0.6976	0.0476	0.0330	0.0387
2018/12/26	2.65	2.55	0.3096	−0.3296	−0.2181	−0.1065	0.1772	0.1645	0.1753
2018/12/26	2.55	2.55	0.3096	0.0152	0.1268	0.2383	0.1212	0.1073	0.1210
2019/03/27	2.75	2.55	0.5589	−0.4833	−0.3334	−0.1835	0.2694	0.2616	0.2738
2018/09/26	2.75	2.55	0.0603	−1.5272	−1.4780	−1.4288	0.2091	0.2012	0.2011
2018/09/26	3.60	2.55	0.0603	−6.9988	−6.9496	−6.9003	1.0469	1.0467	1.0452
2019/03/27	2.20	2.55	0.5589	1.0053	1.1552	1.3051	0.0363	0.0272	0.0423
2018/12/26	2.80	2.55	0.3096	−0.8232	−0.7116	−0.6000	0.2821	0.2729	0.2800
2018/12/26	2.30	2.55	0.3096	0.9401	1.0517	1.1632	0.0348	0.0239	0.0353
2018/09/26	2.90	2.55	0.0603	−2.6062	−2.5570	−2.5077	0.3492	0.3476	0.3430
2018/09/26	2.55	2.55	0.0603	0.0067	0.0559	0.1052	0.0661	0.0489	0.0573
2019/03/27	2.50	2.55	0.5589	0.1525	0.3024	0.4523	0.1285	0.1174	0.1330
2018/12/26	2.60	2.55	0.3096	−0.1589	−0.0473	0.0643	0.1477	0.1342	0.1468
2018/09/26	3.00	2.55	0.0603	−3.2949	−3.2457	−3.1965	0.4477	0.4473	0.4459