Table 1: Recovered moments and their theoretical values for a range of initial underlying prices in the simulation.

Underlying price 3638404244

1st order moment −0.0200−0.0200−0.0200−0.0200−0.0200
( (1))−0.0200−0.0200−0.0200−0.0200−0.0200

2nd order moment 0.16050.16050.16050.16040.1604
( (2))0.16040.16040.16040.16040.1604

Note: the first two moment estimates for with each of the underlying prices are compared to their corresponding theoretical values under the GBM, calculated by (19) with the parameters , , , .
These moments are recovered using only 8 call options discussed in Section 3.2. For both moments, the top row reports the estimated values, and the bottom row reports the theoretical (true) values.