Question
Consider the following daily stock prices for Naspers company for June 2023. Date Price (Si) 2023-06-01 307.374 2023-06-02 319.657 2023-06-05 316.023 2023-06-06 314.414 2023-06-07 311.793
Consider the following daily stock prices for Naspers company for June 2023. Date Price (Si) 2023-06-01 307.374 2023-06-02 319.657 2023-06-05 316.023 2023-06-06 314.414 2023-06-07 311.793 2023-06-08 311.242 2023-06-09 310.970 2023-06-12 312.291 2023-06-13 316.750 2023-06-14 311.500 2023-06-15 322.542 2023-06-19 326.006 2023-06-20 314.627 2023-06-21 306.652 2023-06-22 307.200 2023-06-23 299.419 2023-06-26 299.844 2023-06-27 326.128 2023-06-28 338.530 2023-06-29 331.528 2023-06-30 333.403 Here S0 = 307.374 is the initial stock price and the time to maturity is 20 days. Assume that there is no dividend paid, the risk-free rate is 8% per annum and the annualised stock price volatility is 65%. 8.1 Determine the payoff values from a floating lookback call and put options from 2023-06-01 to 2023-06-30. (10) 8.2 Determine the value of the floating lookback call and put options by using the following methods: (18) . 8.2.1 Risk-neutral approach. 8.2.2 Black-Scholes formula for lookback call and put options.
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