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

Table 2

𝑆&𝑃500 option prices: at the money options (year 2005). These results were obtained using the estimates (4.4) and (4.5).

January–April 2005	% call	% put	𝑁call	𝑁put	𝐼call	𝐼put	𝑃call	𝑃put
	51.1% (1358.18)	67.7% (1869.60)	852	902	0.27	0.28	28.29	24.76
May–August 2005	% call	% put	𝑁call	𝑁put	𝐼call	𝐼put	𝑃call	𝑃put
	56.5% (1899.99)	66.2% (1989.07)	1115	1154	0.28	0.28	27.40	22.52
September–December 2005	% call	% put	𝑁call	𝑁put	𝐼call	𝐼put	𝑃call	𝑃put
	41.5% (2377.19)	59.4% (2652.84)	1188	1208	0.27	0.28	30.29	23.45