Abstract
The purpose of this study is to make use of the Heston-Nandi model to approximate option price surfaces for the CIVETS (Colombia, Indonesia, Vietnam, Egypt and South Africa) countries’ equity indices. Daily data from 2010 to 2018 was used. The statistical properties of the return series show signs of leptokurtosis and volatility clustering, which is consistent with the stylised facts of financial returns. The approximated call option price surface is consistent with what is found in the market. The approximated option prices for Egypt and Turkey are slightly higher due to greater historical volatility, and a higher risk-free rate.