Table 1 Error statistics for the calibration procedure on the average relative percentage error for the linear model Eq. (7) and the Heston model
From: A new logistic-type model for pricing European options
Complete set | Closest maturity options | |||
|---|---|---|---|---|
Linear model (%) | Heston model (%) | Linear model (%) | Heston model (%) | |
Mean | 7.70 | 7.81 | 7.76 | 7.65 |
Stand. dev. | 2.39 | 3.43 | 2.81 | 4.20 |