When I started combing through the literature I was astonished about how little the option pricing models are tested against market data and benchmarks are limited. The main barrier is of course finding affordable options market data is not easy. But it is essential to assess the performance of the proposed model with some other models accepted by the academia.

For example, while Duan's famous paper paper on option pricing with GARCH has no empirical section, Heston and Nandi's own GARCH paper has detailed info on the data used and benchmarks their model with other models.

I am looking for scientific papers with a data section on empirical option pricing. They usually either propose a model and benchmark using market data or completely devote themselves to benchmark models.

p.s. I am more interested in exchange traded equity, etf and index options, so American and European option pricing models are priority (others are also welcome). No limit on the model type, the only requirement is it should spit out a price. Benchmark papers are also welcome.


1 Answer 1


I think you are right. Now when I check papers I've used for my thesis I don't see almost any with empirical data section.

Maybe this one will be helpful:

Roswell E. Mathis, III, Gerald O., Bierwag Pricing Eurodollar Futures Options with Ho and Lee and Black, Derman, and Toy Models: An Empirical Comparison


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