The Black-Scholes (1973) option pricing model has often been tested on the data emerging from different option markets. In general, it has been observed that the model underprices out-of-the-money and close to maturity options. Several attempts have been made in the literature to achieve better forecas-ting ability in option pricing models: the introduction of stocastic volatilities, time varying interest rates, explanatory processes of underlying returns different from the classic lognormal, etc. From among these, the model introduced by Merton (1976) seems particulary appealing. This mogdel proposes a jump-diffusion process to capture the features of the stock return. According to Merton's assumption, the price of an option could be assimilated to wheigthed average Black-Scholes values, where each one of them is calcula-ted over a variance measure which will be different depending on the number of jumps considered. In this paper we compare the forecast abilities of the Merton and the Black--Scholes option pricing models utilizing data from the emergent Spanish op-tion market (MEFFSA, Renta Variable), particulary of its more liquid segment, i.e., the call options written on "Telefónica".

Keywords: stock option pricing, jump diffusion processes.