spot $164.19 dividends = 0 (this stock does not pay dividends) Resuls from Heston Calibration ------------------------------- Heston Parameters from Calibration: v0 = 0.134207 kappa = 15.1765 theta = 0.22148 sigma = 5.35907 rho = -0.213263 Calls Days to Strike Bid Ask Model + Model Whaley Maturity Whaley premium -------- ------ --- --- ------ ----- -------- 10 160.00 6.6500 6.7500 6.4340 6.4335 0.0004 10 165.00 3.7000 3.8000 3.3422 3.3419 0.0002 10 170.00 1.7700 1.8200 1.5781 1.5780 0.0001 10 175.00 0.7200 0.7500 0.7686 0.7685 0.0001 10 180.00 0.2600 0.2900 0.3923 0.3923 0.0000 10 185.00 0.0900 0.1100 0.2068 0.2068 0.0000 10 190.00 0.0100 0.0500 0.1115 0.1115 0.0000 10 195.00 0.0100 0.0300 0.0612 0.0612 0.0000 10 200.00 0.0000 0.0100 0.0341 0.0341 0.0000 10 210.00 0.0000 0.0800 0.0110 0.0110 0.0000 10 220.00 0.0000 0.0900 0.0037 0.0037 0.0000 10 230.00 0.0000 0.0900 0.0013 0.0013 0.0000 10 240.00 0.0000 0.0900 0.0005 0.0005 0.0000 10 250.00 0.0000 0.0500 0.0002 0.0002 0.0000 10 260.00 0.0000 0.0300 0.0001 0.0001 0.0000 Puts Days to Strike Bid Ask Model + Model Whaley Maturity Whaley premium -------- ------ --- --- ------ ----- -------- 10 90.00 0.0000 0.0900 0.0001 0.0001 0.0000 10 95.00 0.0000 0.0500 0.0001 0.0001 0.0000 10 100.00 0.0000 0.0500 0.0004 0.0004 0.0000 10 105.00 0.0000 0.0300 0.0009 0.0009 0.0000 10 110.00 0.0000 0.0500 0.0022 0.0022 0.0000 10 115.00 0.0100 0.0700 0.0049 0.0049 0.0000 10 120.00 0.0200 0.0800 0.0106 0.0106 0.0000 10 125.00 0.0200 0.0500 0.0224 0.0224 0.0000 10 130.00 0.0500 0.0700 0.0458 0.0458 0.0000 10 135.00 0.0700 0.0900 0.0909 0.0909 0.0000 10 140.00 0.1500 0.1900 0.1760 0.1760 0.0000 10 145.00 0.2700 0.3100 0.3333 0.3333 0.0000 10 150.00 0.5600 0.6000 0.6206 0.6205 0.0000 10 155.00 1.1800 1.2200 1.1466 1.1466 0.0001 10 160.00 2.3900 2.4300 2.1352 2.1351 0.0001 10 165.00 4.4000 4.5000 4.0404 4.0401 0.0003 Results from Bates calibration ------------------------------- Heston + Bates parameters from Calibration v0 = 0.175395 kappa = 27.3523 theta = 0.248215 sigma = 9.1088 rho = -0.202494 nu = 2.70389e-007 delta = -0.0204623 lambda = 0.0589534 Calls Days to Strike Bid Ask Model Maturity -------- ------ --- --- ------ 10 165.00 3.7000 3.8000 3.6263 10 170.00 1.7700 1.8200 1.8595 10 175.00 0.7200 0.7500 1.0276 10 180.00 0.2600 0.2900 0.6097 10 185.00 0.0900 0.1100 0.3789 10 190.00 0.0100 0.0500 0.2429 10 195.00 0.0100 0.0300 0.1592 10 200.00 0.0000 0.0100 0.1062 10 210.00 0.0000 0.0800 0.0492 10 220.00 0.0000 0.0900 0.0238 10 230.00 0.0000 0.0900 0.0119 10 240.00 0.0000 0.0900 0.0062 10 250.00 0.0000 0.0500 0.0033 10 260.00 0.0000 0.0300 0.0018 Puts Days to Strike Bid Ask Model Maturity -------- ------ --- --- ------ 10 90.00 0.0000 0.0900 0.0013 10 95.00 0.0000 0.0500 0.0025 10 100.00 0.0000 0.0500 0.0048 10 105.00 0.0000 0.0300 0.0089 10 110.00 0.0000 0.0500 0.0159 10 115.00 0.0100 0.0700 0.0278 10 120.00 0.0200 0.0800 0.0477 10 125.00 0.0200 0.0500 0.0801 10 130.00 0.0500 0.0700 0.1321 10 135.00 0.0700 0.0900 0.2149 10 140.00 0.1500 0.1900 0.3458 10 145.00 0.2700 0.3100 0.5532 10 150.00 0.5600 0.6000 0.8869 10 155.00 1.1800 1.2200 1.4432 10 160.00 2.3900 2.4300 2.4340 10 165.00 4.4000 4.5000 4.3245