  In this paper, we price European Call three different option pricing models,
where the volatility is dynamically changing i.e. non constant. In stochastic
volatility (SV) models for option pricing a closed form approximation technique
is used, indicating that these models are computationally efficient and have
the same level of performance as existing ones. We show that the calibration of
SV models, such as Heston model and the High Order Moment based Stochastic
Volatility (MSV) is often faster and easier. On 15 different datasets of index
options, we show that models which incorporates stochastic volatility achieves
accuracy comparable with the existing models. Further, we compare the In Sample
and Out Sample pricing errors of each model on each date. Lastly, the pricing
of models is compared among three different market to check model performance
in different markets. Keywords: Option Pricing Model, Simulations, Index
Options, Stochastic Volatility Models, Loss Function
http://www.sci-int.com/pdf/638279543859822650.pdf
