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

Pragmatic Comparison Analysis of Alternative Option Pricing Models