The Use of Statistical Tests to Calibrate the Black-Scholes Asset Dynamics Model Applied to Pricing Options with Uncertain Volatility

Table 1

𝑆&𝑃500 option prices: in the money options (year 2005). These results were obtained using the estimates (4.2) and (4.3).

January–April 2005	% call	% put	𝑁call	𝑁put	𝐼call	𝐼put	𝑃call	𝑃put
	73.8% (172.22)	72.3% (313.01)	1571	1822	0.23	0.34	94.01	76.82
May–August 2005	% call	% put	𝑁call	𝑁put	𝐼call	𝐼put	𝑃call	𝑃put
	74.6% (335.25)	62.0% (202.34)	2005	1745	0.24	0.35	92.03	76.73
September–December 2005	% call	% put	𝑁call	𝑁put	𝐼call	𝐼put	𝑃call	𝑃put
	65.5% (401.78)	59.7% (557.22)	2174	2300	0.23	0.35	97.94	76.14