Table 6: MPE, MSE, and MAPE of IBM put 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 FD RMEL Liu10 AA10 FDRMEL Liu10 AA10 FD


(DOTM)
Count 372618374
MPE (%) −46.223−78.924−82.536−88.694−30.291−53.189−51.623−89.083−4.0540.899−40.284−75.498
MSE 0.0570.4391.2060.6340.1150.7542.0641.9450.8262.3972.2033.219
MAPE (%) 49.45179.43782.73596.22636.68360.51859.13789.08324.69547.85845.73575.498


(OTM)
Count 351299241
MPE (%) −2.021−15.641−21.253−28.855−0.6884.292−5.382−28.834−0.1839.063−8.15−24.484
MSE 0.1271.1501.8512.5260.5212.7122.6854.6315.19311.6815.3465.218
MAPE (%) 10.39037.25337.56448.76111.25433.69030.25831.55424.51846.61425.45824.711


(ITM)
Count331262254
MPE (%) 0.3890.817−3.3589.457−0.960−4.337−1.861−1.856−7.996−9.825−7.658−4.303
MSE 0.2020.4051.5133.6250.3281.9282.3583.1822.7487.8355.8653.856
MAPE (%) 3.3365.7805.63217.0233.4709.7565.86112.3549.30918.27510.84310.473


(DITM)
Count 239523566
MPE (%) −0.566−0.571−0.8655.747−0.662−1.706−0.9522.997−2.372−3.535−2.5362.041
MSE 0.2260.1721.2632.5470.4890.7271.2131.9241.1182.0982.2532.040
MAPE (%) 1.5891.8221.8325.8991.8452.2501.9253.9282.6233.8113.5313.624

Note: each reported value is for 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 put 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 analyzed is 4430, the lowest moneyness is , the highest moneyness is , and the time to expiration is in between 16 and 357 days.