Page 33 - 34-1

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

SRG 16.89* 16.04* 15.14* 14.15* 13.08* 11.89* 10.55 9.01 28.23* 26.92* 25.48* 23.88* 22.09* 20.07* 17.76* 15.07 39.63** 38.00** 36.14** 34.02** 31.58** 28.76** 25.46** 21.53*

OTM 10%, K = 55 SLN USD 16.90* 16.65 16.06* 15.81 15.15* 14.91 14.17* 13.95 13.10* 12.91 11.91* 11.76 10.57 10.47 9.03 8.98 28.27* 27.20 26.97* 25.93 25.54* 24.56 23.94* 23.06 22.16* 21.41 20.13* 19.56 17.81* 17.45 15.10* 14.95 39.75** 37.15 38.11** 35.67 36.24** 34.01* 34.09** 32.14* 31.62** 30.01* 28.74** 27.55* 25.37* 24.64* 21.35* 21.09*

MC 16.67 15.82 14.93 13.96 12.92 11.77 10.48 9.00 27.21 25.90 24.50 22.98 21.32 19.47 17.38 14.92 37.05 35.42 33.65 31.70 29.52 27.07 24.24 20.85

SRG 19.14* 18.29* 17.37* 16.38* 15.30* 14.10 12.76 11.21 30.34* 29.01* 27.55* 25.94* 24.13* 22.08* 19.75* 17.04 41.61** 39.95** 38.07** 35.92** 33.45** 30.61** 27.28* 23.33*
Table 6 Values of Spread Calls (T = 1)

SLN 19.15* 18.30* 17.39* 16.40* 15.31* 14.12 12.77 11.23 30.38* 29.06* 27.61* 25.99* 24.18* 22.13* 19.78* 17.04 41.71** 40.04** 38.15** 35.97** 33.46** 30.54** 27.13* 23.07*
ATM,K = 50

USD Panel A: σ = 30% 18.91 18.06 17.16 16.19 15.14 13.98 12.69 11.19 Panel B: σ = 50% 29.35 28.07 26.68 25.16 23.49 21.61 19.46 16.92 Panel C: σ = 70% 39.21 37.72 36.03* 34.14* 31.98* 29.47* 26.52* 22.88* Note: The basket is composed of two assets, defined by GB = S 1 ─S 2 . The relevant parameters are presented as follows: S 1 (0) = 100, S 2 (0) = 50, q 1 = q 2 = 0, σ 1 =

MC 18.93 18.08 17.17 16.20 15.14 13.99 12.69 11.20 29.35 28.02 26.59 25.05 23.36 21.49 19.36 16.87 39.08 37.42 35.61 33.63 31.42 28.92 26.04 22.59 PPE is lower than 1%. RMSE (USD, SLN, SRG) = (0.25, 1.28, 1.26) and MAE (USD, SLN, SRG) = (0.63, 2.70, 2.58).

SRG 21.59 20.74 19.83 18.85 17.78 16.60 15.29 13.81 32.57* 31.23* 29.76* 28.13* 26.31* 24.26* 21.93* 19.24 43.66** 41.99** 40.09** 37.92** 35.44** 32.57** 29.24* 25.29*

ITM 10%, K = 45 SLN USD 21.60 21.38 20.75 20.54 19.84 19.64 18.86 18.68 17.79 17.64 16.61 16.51 15.30 15.24 13.81 13.79 32.61* 31.63 31.28* 30.35 29.81* 28.95 28.17* 27.42 26.35* 25.74 24.29* 23.85 21.93* 21.68 19.20 19.13 43.75** 41.38 42.06** 39.87 40.14** 38.17* 37.94** 36.25* 35.40** 34.07* 32.46** 31.54* 29.02* 28.54* 24.95* 24.85*

MC 21.40 20.55 19.65 18.68 17.64 16.50 15.23 13.80 31.62 30.28 28.84 27.29 25.58 23.69 21.55 19.06 41.22 39.53 37.70 35.68 33.44 30.91 27.99 24.51

-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

25