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NTU Management Review Vol. 34 No. 1 Apr. 2024

SRG 10.17 11.79 13.22 14.53 15.75 16.90 17.99 19.03 19.34 21.52 23.58 25.51 27.36* 29.13* 30.84* 32.51 30.79* 32.81* 34.96 37.21 39.51 41.83 44.18 46.57

OTM 10%, K = 165 SLN USD 10.51* 10.07 12.01* 11.68 13.38 13.15 14.65 14.51 15.84 15.76 16.97 16.93 18.05 18.04 19.09 19.09 20.98** 19.15 22.72** 21.24* 24.42* 23.30* 26.09* 25.32* 27.74 27.26* 29.36 29.11* 30.97 30.86 32.56 32.53 33.91*** 29.71 35.30** 31.76* 36.78** 33.91* 38.37* 36.20* 40.06* 38.60* 41.85 41.01* 43.72 43.35* 45.68 45.57*

MC 10.11 11.79 13.28 14.64 15.88 17.05 18.16 19.20 19.16 21.56 23.74 25.76 27.65 29.44 31.15 32.80 29.78 32.40 34.92 37.31 39.61 41.82 43.99 46.12

SRG 16.86 18.53 19.96 21.23 22.40 23.49 24.52 25.50 25.14 27.41 29.51 31.46 33.28 35.02 36.68 38.29 36.07* 38.14* 40.32 42.59 44.90 47.21 49.53 51.87*
Table 4 Values of Basket Calls (T = 1.5)

ATM,K = 150 SLN USD Panel A: σ = 30% 17.66* 16.81 19.01* 18.46 20.25 19.91 21.41 21.21 22.52 22.40 23.56 23.50 24.57 24.54 25.53 25.53 Panel B: σ = 50% 27.29** 24.86 28.93** 27.13* 30.53* 29.24* 32.10* 31.24* 33.65 33.13* 35.18 34.91 36.70 36.58 38.21 38.17 Panel C: σ = 70% 39.48*** 34.61 40.79** 36.90* 42.20* 39.17* 43.71* 41.50* 45.31* 43.87* 47.01 46.20*

MC 16.91 18.61 20.05 21.35 22.53 23.63 24.66 25.64 25.03 27.54 29.73 31.70 33.53 35.25 36.88 38.45 34.90 37.68 40.23 42.60 44.84 46.98 49.05 51.08 PPE is lower than 1%. RMSE (USD, SLN, SRG) = (0.51, 1.34, 0.36) and MAE (USD, SLN, SRG) = (1.11, 4.78, 1.23).

SRG 26.57 27.82 28.97 30.01 30.98 31.89 32.76 33.60 32.66 34.80 36.80 38.65 40.37 42.00 43.55 45.05 42.42* 44.45* 46.60 48.83 51.09 53.34 55.58* 57.84*

ITM 10%, K = 135 SLN USD 27.44* 26.62 28.38* 27.85 29.31 28.96 30.21 30.00 31.09 30.96 31.94 31.87 32.77 32.74 33.59 33.58 35.09** 32.34* 36.51* 34.61* 37.91* 36.61* 39.31* 38.46* 40.69 40.18 42.07 41.80 43.44 43.32 44.81 44.78 45.97*** 40.59* 47.17** 43.11* 48.47* 45.44* 49.85* 47.73* 51.33 49.99* 52.89 52.17* 54.54 54.23* 56.27 56.18

MC 26.74 27.97 29.08 30.11 31.08 31.99 32.86 33.69 32.70 35.05 37.06 38.88 40.55 42.12 43.62 45.05 41.19 43.99 46.47 48.74 50.86 52.87 54.81 56.71

-0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7 -0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7 -0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7

ρ ρ ρ

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