Table 5: MPE, MSE, and MAPE of IBM call price estimates compared to IBM market prices for a range of moneyness and time to expiration.

Moneyness Expiration 16–60 (short) 61–160 (medium)161–357 (long)
Method RMEL Liu10 AA10 RMEL Liu10 AA10 RMEL Liu10 AA10


(DOTM)
Count 199480529
MPE (%) −5.352−14.2086.214−3.508−3.931−7.035−6.035−7.932−12.136
MSE 1.8235.6361.4021.4894.7852.9021.8064.7576.238
MAPE (%) 14.73526.29121.03515.22535.13820.18615.13232.24817.301


(OTM)
Count 371304290
MPE (%) −5.1302.6205.326−4.919−4.634−18.325−5.726−4.482−20.648
MSE 1.2904.0641.8241.1644.0603.0281.3574.8144.039
MAPE (%) 19.86844.54523.89416.82535.93727.68219.78142.44326.026


(ITM)
Count289248202
MPE (%) −3.044−2.307−6.563−4.688−2.794−19.542−0.8311.652−23.249
MSE 1.3143.9063.3580.8733.0468.0651.1063.49516.548
MAPE (%) 17.06034.59918.17518.98838.98525.33820.09141.22728.065


(DITM)
Count 434670414
MPE (%) −2.181−3.637−4.212−2.846−7.860−9.542−5.096−8.887−11.254
MSE 1.3864.2902.9211.1893.9158.6210.7253.08515.245
MAPE (%) 15.66337.03113.98415.69031.90415.93818.61638.70719.351

Note: each cell represents a particular combination of moneyness and time to expiration. Three independent simulations are carried out, while 10,000 underlying price paths are generated in each simulation. The first row reports the number of call options with the corresponding combination of moneyness and time to expiration. The remaining rows show the statistic results of the MPE, RMSE, and MAPE for each combination. The total number of options analysed is 4430, the lowest moneyness is , the highest moneyness is , and the time to expiration is in between 16 and 357 days.