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

Table 3

𝑆&𝑃500 option prices: out of the money options (year 2005). These results were obtained using the estimates (4.6) and (4.7).

January–April 2005	% call	% put	𝑁call	𝑁put	𝐼call	𝐼put	𝑃call	𝑃put
	20.1% (691.52)	2.41% (1061.76)	3412	4892	0.26	0.57	11.13	9.05
May–August 2005	% call	% put	𝑁call	𝑁put	𝐼call	𝐼put	𝑃call	𝑃put
	13.4% (929.68)	3.55% (1337.39)	3644	6316	0.23	0.58	9.89	8.33
September–December 2005	% call	% put	𝑁call	𝑁put	𝐼call	𝐼put	𝑃call	𝑃put
	12.6% (1598.65)	2.71% (1908.66)	4055	6468	0.24	0.59	12.73	8.58