European Option Pricing Formula in Risk-Aversive Markets

Table 7

Pricing results by our pricing formula and the Black–Scholes model for call option.

2870	0.043836	0.036511	0.061093	0.085675	21.05	28.26	30.77
2875	0.043836	−0.034298	−0.009716	0.014866	18.15	25.85	26.25
2880	0.043836	−0.104985	−0.080403	−0.055821	18.20	23.58	21.99
2890	0.043836	−0.245990	−0.221408	−0.196826	13.70	19.45	14.27
2900	0.043836	−0.386509	−0.361927	−0.337345	8.50	15.87	7.65
2870	0.123288	0.103532	0.144758	0.185983	45.00	50.06	54.77
2875	0.123288	0.061310	0.102535	0.143760	40.85	47.55	50.91
2895	0.123288	−0.106850	−0.065625	−0.024399	31.68	38.36	36.73
2900	0.123288	−0.148708	−0.107483	−0.066258	29.50	36.27	33.49
2925	0.123288	−0.356924	−0.315698	−0.274473	18.10	27.00	19.26
2940	0.123288	−0.481000	−0.439775	−0.398549	14.10	22.35	12.25
2950	0.123288	−0.563367	−0.522141	−0.480916	11.50	19.61	8.19
2955	0.123288	−0.604445	−0.563220	−0.521995	10.45	18.34	6.35
2870	0.219178	0.151657	0.206624	0.261591	64.00	69.14	75.39
2875	0.219178	0.119990	0.174957	0.229924	63.80	66.58	71.78
2900	0.219178	−0.037523	0.017444	0.072411	47.50	54.73	54.98
2950	0.219178	−0.348517	−0.293550	−0.238583	26.75	35.58	27.81
3000	0.219178	−0.654284	−0.599317	−0.544350	13.30	21.94	8.99
3025	0.219178	−0.805261	−0.750294	−0.695327	8.75	16.88	2.42
2900	0.295890	0.018662	0.082528	0.146394	62.77	67.32	69.15
2900	0.372603	0.062039	0.133708	0.205376	76.38	78.74	81.78
3100	0.372603	−0.868516	−0.796848	−0.725179	9.40	18.99	3.50
2900	0.468493	0.105947	0.186310	0.266673	91.40	91.87	96.10
3000	0.468493	−0.315908	−0.235545	−0.155182	41.26	52.22	44.38
3100	0.468493	−0.723929	−0.643566	−0.563203	15.00	27.13	12.45