A.M. Fedoseev, M.E. Semenov, I.S. Tihomirov

The right choice of price earnings distribution function is one of the most important tasks to value options. A lot of scientific investigations and articles have been devoted to check the hypothesis about how one or another distribution function corresponds to price earnings. But the very important thing is, how great the mistake could be if the choice of distribution function is wrong. When the model option prices and fair prices for different strikes are determined we have an opportunity to compare them and models prices. This difference reflects the error, which has occurred as discrepancy between price distribution function and empiric distribution, as far as standard deviation and mathematical expectation without any errors is the developed instruments, but the variant of function distribution differs from the empiric one. This supposition is made to evaluate the importance of right determination of function distribution variant at options evaluation with different strikes and to understand the order of error, which occurs as a result of the wrong choice of distribution function. The results give an opportunity to evaluate the importance of the right choice of function dis-tribution at options evaluation with different strikes quantitatively. The most important result of investigation is the conclusion that the wrong choice of the price earnings distribution function can lead to big difference between model and fair prices. And the difference becomes bigger if option is «out of the money».