European Option Pricing Formula in Risk-Aversive Markets

Table 8

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

2550	0.043836	4.845658	4.870240	4.894822	0.59	0.00	0.05
2575	0.043836	4.448776	4.473358	4.497940	0.70	0.00	0.14
2600	0.043836	4.055729	4.080311	4.104893	0.81	0.00	0.35
2650	0.043836	3.280846	3.305428	3.330010	1.20	0.01	1.59
2660	0.043836	3.127625	3.152207	3.176790	1.40	0.02	2.08
2675	0.043836	2.898871	2.923453	2.948035	1.64	0.04	3.02
2700	0.043836	2.520449	2.545031	2.569613	1.95	0.14	5.27
2300	0.123288	5.474086	5.515311	5.556536	1.30	0.00	0.01
2400	0.123288	4.441720	4.482946	4.524171	1.95	0.00	0.14
2500	0.123288	3.451504	3.492730	3.533955	3.26	0.01	1.11
2590	0.123288	2.593606	2.634832	2.676057	5.40	0.20	4.65
2600	0.123288	2.500131	2.541356	2.582581	6.00	0.27	5.32
2615	0.123288	2.360589	2.401814	2.443040	6.20	0.41	6.45
2625	0.123288	2.268005	2.309230	2.350456	7.10	0.53	7.29
2670	0.123288	1.855696	1.896922	1.938147	9.20	1.62	11.98
2675	0.123288	1.810314	1.851539	1.892764	9.40	1.82	12.60
2700	0.123288	1.584666	1.625892	1.667117	11.50	3.13	15.93
2725	0.123288	1.361099	1.402324	1.443549	14.30	5.16	19.69
2775	0.123288	0.920051	0.961277	1.002502	20.50	12.41	28.36
2800	0.123288	0.702499	0.743724	0.784950	25.85	18.18	33.26
2825	0.123288	0.486881	0.528106	0.569331	31.50	25.71	38.61
2850	0.123288	0.273162	0.314387	0.355612	39.00	35.19	44.52
2200	0.219178	4.988269	5.043237	5.098204	2.60	0.00	0.03
2400	0.219178	3.405298	3.460265	3.515232	5.80	0.02	1.16
2500	0.219178	2.662636	2.717603	2.772570	9.00	0.22	4.11
2540	0.219178	2.373857	2.428824	2.483791	11.00	0.54	6.28
2550	0.219178	2.302373	2.357340	2.412307	11.95	0.67	6.94
2575	0.219178	2.124882	2.179849	2.234816	13.20	1.10	8.80
2600	0.219178	1.949106	2.004073	2.059040	14.80	1.76	10.99
2650	0.219178	1.602568	1.657535	1.712502	19.95	4.13	16.46
2725	0.219178	1.094832	1.149799	1.204766	29.92	12.23	27.74
2825	0.219178	0.439168	0.494135	0.549103	51.10	37.78	49.91
2850	0.219178	0.278879	0.333846	0.388814	58.00	47.68	57.10
2865	0.219178	0.183379	0.238346	0.293314	65.20	54.36	61.80
2425	0.295890	2.819513	2.883379	2.947245	10.76	0.16	3.16
2500	0.295890	2.342589	2.406455	2.470321	14.75	0.70	6.54
2675	0.295890	1.283205	1.347071	1.410937	32.50	9.91	24.37
2850	0.295890	0.290978	0.354844	0.418710	69.79	55.32	64.91
2860	0.295890	0.236134	0.300000	0.363866	76.22	59.70	68.22