Choice of the performance metric is a crucial part of empirical assessment of option pricing model performance and benchmarking, mainly because the outcome is subject to change based on the metric. Usage of performance metrics in the empirical option pricing literature are examined and their...

In empirical option pricing studies, model pricing performance is generally evaluated with distance from the market prices. A common approach is to aggregate similar contracts' pricing errors, in terms of remaining time to contract expiry (maturity) and relative position of the exercise price to...

Empirical studies show that even the best performing option pricing models cannot sustain their performance for all contracts. It can also be added that each model can give the best price estimate for at least a set of contracts. Our aim is to detect which model (and parametrization) is the best...