European Option Pricing Formula in Risk-Aversive Markets

Table 6

Parameter estimation of , , and for put options.

0.35	0.046575	2400	7.097458	7.122797	7.148136
0.42	0.046575	2410	6.933361	6.958699	6.984038
0.40	0.046575	2420	6.769942	6.795281	6.820619
0.40	0.046575	2435	6.526076	6.551415	6.576753
0.47	0.046575	2440	6.445121	6.470460	6.495799
0.46	0.046575	2450	6.283708	6.309047	6.334385
0.55	0.046575	2455	6.203248	6.228587	6.253926
0.54	0.046575	2485	5.723905	5.749243	5.774582
0.62	0.046575	2490	5.644577	5.669915	5.695254
0.56	0.046575	2500	5.486398	5.511737	5.537076
0.72	0.046575	2515	5.250313	5.275652	5.300990
0.74	0.046575	2525	5.093704	5.119042	5.144381
0.75	0.046575	2550	4.704878	4.730217	4.755555
0.80	0.046575	2600	3.938534	3.963872	3.989211
0.93	0.046575	2605	3.862711	3.888050	3.913389
1.38	0.046575	2640	3.335995	3.361334	3.386673
1.50	0.046575	2650	3.186787	3.212126	3.237464
1.80	0.046575	2675	2.816217	2.841555	2.866894
2.44	0.046575	2700	2.449093	2.474432	2.499770
2.55	0.046575	2705	2.376076	2.401415	2.426754
2.65	0.046575	2710	2.303195	2.328533	2.353872
3.03	0.046575	2720	2.157833	2.183172	2.208511
3.25	0.046575	2725	2.085353	2.110692	2.136030
4.50	0.046575	2750	1.724935	1.750274	1.775612
0.55	0.126027	2000	8.769770	8.811451	8.853132
1.15	0.126027	2275	5.678836	5.720517	5.762198
1.50	0.126027	2350	4.900655	4.942336	4.984017
1.95	0.126027	2400	4.395546	4.437227	4.478907
2.20	0.126027	2425	4.146924	4.188605	4.230285
3.20	0.126027	2500	3.416152	3.457833	3.499514
5.10	0.126027	2575	2.706983	2.748664	2.790345
6.05	0.126027	2600	2.475176	2.516857	2.558538
6.38	0.126027	2610	2.383077	2.424758	2.466439
8.55	0.126027	2650	2.018175	2.059856	2.101537
10.31	0.126027	2675	1.792898	1.834579	1.876260
12.35	0.126027	2700	1.569717	1.611398	1.653079
14.35	0.126027	2725	1.348593	1.390274	1.431955
18.07	0.126027	2750	1.129488	1.171169	1.212850
22.54	0.126027	2775	0.912366	0.954047	0.995728
27.70	0.126027	2800	0.697191	0.738872	0.780553
32.85	0.126027	2825	0.483929	0.525610	0.567291
41.25	0.126027	2850	0.272547	0.314227	0.355908
1.30	0.221918	2000	6.682380	6.737690	6.793000
5.39	0.221918	2375	3.575320	3.630630	3.685939
5.80	0.221918	2400	3.385999	3.441308	3.496618
9.26	0.221918	2500	2.647935	2.703245	2.758554
11.74	0.221918	2550	2.289903	2.345212	2.400522
12.90	0.221918	2565	2.183861	2.239171	2.294480
13.55	0.221918	2575	2.113511	2.168820	2.224130
15.32	0.221918	2600	1.938823	1.994133	2.049442
17.70	0.221918	2625	1.765807	1.821117	1.876426
19.60	0.221918	2650	1.594431	1.649740	1.705050
26.23	0.221918	2700	1.256476	1.311786	1.367095
28.70	0.221918	2715	1.156310	1.211619	1.266929
31.25	0.221918	2725	1.089839	1.145148	1.200458
35.95	0.221918	2750	0.924723	0.980033	1.035342
46.70	0.221918	2800	0.598948	0.654257	0.709567
59.32	0.221918	2850	0.278939	0.334248	0.389558
63.55	0.221918	2860	0.215611	0.270920	0.326230
64.70	0.221918	2865	0.184030	0.239340	0.294649
46.60	0.298630	2750	0.847874	0.912035	0.976196
57.50	0.298630	2800	0.567041	0.631203	0.695364