Option Pricing under Two-Factor Stochastic Volatility Jump-Diffusion Model

Table 6

Out-of-sample pricing results.

Option id.		Option price	TSVIJ	SVIJ	SV	Merton	BS
1	320	48.80	48.6254	47.6376	45.2317	47.4903	45.2890
2	360	15.65	15.6583	15.6419	15.6648	15.4557	14.6615
3	365	12.65	12.6641	12.8451	13.6158	12.6666	12.1157
4	367.5	11.40	11.4846	11.5839	11.9010	11.4087	10.9635
5	370	10.20	10.2925	10.4150	10.3207	10.2423	9.8904
6	372.5	9.45	9.4873	9.3381	10.2155	9.1666	8.8946
7	375	8.50	8.6077	8.3511	8.7654	8.1800	7.9742
8	377.5	7.20	7.2316	7.4513	7.4769	7.2800	7.2905
9	380	6.40	6.3767	6.6367	7.3838	6.4634	6.3494
10	382.5	6.65	6.3299	5.9027	6.2442	5.7265	5.6390
11	385	4.95	5.0967	5.2451	6.1674	5.0649	4.9924
12	390	3.65	3.6971	4.1391	4.2929	3.9485	3.8765
13	395	3.00	3.2425	3.2767	3.4890	3.0742	2.9724
14	400	2.34	2.3955	2.6148	2.8088	2.4008	2.2510
15	405	1.80	1.8419	2.1127	2.2393	1.8893	1.6838
RMSE			0.0167	0.1839	1.2229	0.1947	1.0379