Traditional | Look-back | |||||
F1 | F2 | F3 | F1 | F2 | F3 | |
Minimum | −0.1997 | −0.1793 | −0.1810 | 0.0111 | 0.0228 | 0.0318 |
Maximum | 0.2256 | 0.1687 | 0.1684 | 0.0197 | 0.0303 | 0.0390 |
Mean | −0.0051 | −0.0167 | −0.0222 | 0.0164 | 0.0270 | 0.0358 |
Std.dev | 0.0424 | 0.0481 | 0.0547 | 0.0017 | 0.0016 | 0.0015 |
Skewness | 1.5025 | 0.6150 | 0.5009 | −0.2333 | −0.0690 | −0.1406 |
Kurtosis | 12.7840 | 5.6003 | 4.0389 | 2.1730 | 2.0431 | 2.0843 |
Jarque-Bera | 10528.00 | 830.68 | 208.94 | 91.08 | 94.46 | 92.72 |
Asian option | Asian option with mean-reverting | |||||
F1 | F2 | F3 | F1 | F2 | F3 | |
Minimum | 0.0030 | 0.0062 | 0.0085 | −0.0002 | −0.0055 | −0.0001 |
Maximum | 0.0053 | 0.0081 | 0.0103 | 0.0113 | 0.0128 | 0.0222 |
Mean | 0.0045 | 0.0072 | 0.0095 | 0.0065 | 0.0040 | 0.0114 |
Std.dev | 0.0004 | 0.0004 | 0.0004 | 0.0019 | 0.0033 | 0.0040 |
Skewness | −0.2637 | −0.0829 | −0.1363 | −0.6250 | −0.4832 | −0.4021 |
Kurtosis | 2.2034 | 2.0575 | 2.1073 | 3.3255 | 2.9460 | 2.9098 |
Jarque-Bera | 92.16 | 92.55 | 88.05 | 167.65 | 94.27 | 65.90 |