Derivatives Pricing and Valuation
Diana_05
DataSetforQ2.xlsxSheet 1
| Derivative Pricing & Valuation AFE-7507 | ||
| These data sets record the consecutive daily observed prices for various different stock indices. | ||
| The number of daily observations per year for each series is 250; the total number of observations is 1251 or 5 years plus one day. | ||
| The 6-month forward price and the at-the-money 6-month European call option premium for the last observed day is also recorded. | ||
| The relevant annual continuous risk-free rate for all short-term maturities (less than 18 months) is 3.6%. | ||
| Series Number | 7 | |
| Number of Observations | 1251 | |
| 6-m Forward Price | 1525.293 | |
| ATM 6-m Call Premium | 120.7164 | |
| Annual continuous dividend rate | 3.231% | |
| Observation number | ||
| 0 | 3745.469 | |
| 1 | 3712.813 | |
| 2 | 3722.361 | |
| 3 | 3725.763 | |
| 4 | 3790.199 | |
| 5 | 3715.086 | |
| 6 | 3742.207 | |
| 7 | 3701.483 | |
| 8 | 3656.754 | |
| 9 | 3749.113 | |
| 10 | 3719.560 | |
| 11 | 3627.520 | |
| 12 | 3634.656 | |
| 13 | 3673.687 | |
| 14 | 3683.614 | |
| 15 | 3668.394 | |
| 16 | 3718.145 | |
| 17 | 3670.995 | |
| 18 | 3723.663 | |
| 19 | 3719.957 | |
| 20 | 3756.285 | |
| 21 | 3822.914 | |
| 22 | 3844.315 | |
| 23 | 3813.165 | |
| 24 | 3887.292 | |
| 25 | 3905.026 | |
| 26 | 3864.694 | |
| 27 | 3885.970 | |
| 28 | 3814.550 | |
| 29 | 3850.812 | |
| 30 | 3910.887 | |
| 31 | 3853.073 | |
| 32 | 3834.441 | |
| 33 | 3816.690 | |
| 34 | 3718.066 | |
| 35 | 3813.853 | |
| 36 | 3873.034 | |
| 37 | 3883.039 | |
| 38 | 3861.165 | |
| 39 | 3881.964 | |
| 40 | 3841.622 | |
| 41 | 3757.798 | |
| 42 | 3771.833 | |
| 43 | 3784.906 | |
| 44 | 3766.549 | |
| 45 | 3749.028 | |
| 46 | 3701.794 | |
| 47 | 3716.729 | |
| 48 | 3632.562 | |
| 49 | 3580.273 | |
| 50 | 3656.632 | |
| 51 | 3625.748 | |
| 52 | 3516.189 | |
| 53 | 3450.102 | |
| 54 | 3440.647 | |
| 55 | 3360.838 | |
| 56 | 3247.123 | |
| 57 | 3266.710 | |
| 58 | 3294.280 | |
| 59 | 3237.261 | |
| 60 | 3263.834 | |
| 61 | 3190.274 | |
| 62 | 3171.193 | |
| 63 | 3166.466 | |
| 64 | 3231.012 | |
| 65 | 3227.889 | |
| 66 | 3287.795 | |
| 67 | 3237.574 | |
| 68 | 3203.620 | |
| 69 | 3181.440 | |
| 70 | 3171.692 | |
| 71 | 3159.389 | |
| 72 | 3239.042 | |
| 73 | 3279.984 | |
| 74 | 3282.528 | |
| 75 | 3267.983 | |
| 76 | 3377.400 | |
| 77 | 3365.305 | |
| 78 | 3368.369 | |
| 79 | 3324.281 | |
| 80 | 3322.059 | |
| 81 | 3333.067 | |
| 82 | 3308.549 | |
| 83 | 3380.451 | |
| 84 | 3339.028 | |
| 85 | 3325.215 | |
| 86 | 3348.804 | |
| 87 | 3394.529 | |
| 88 | 3445.966 | |
| 89 | 3448.269 | |
| 90 | 3448.470 | |
| 91 | 3427.643 | |
| 92 | 3461.572 | |
| 93 | 3477.853 | |
| 94 | 3483.678 | |
| 95 | 3425.950 | |
| 96 | 3391.648 | |
| 97 | 3348.453 | |
| 98 | 3205.319 | |
| 99 | 3265.012 | |
| 100 | 3202.987 | |
| 101 | 3134.059 | |
| 102 | 3106.605 | |
| 103 | 3020.049 | |
| 104 | 2983.799 | |
| 105 | 2975.202 | |
| 106 | 3033.597 | |
| 107 | 2994.386 | |
| 108 | 2982.010 | |
| 109 | 2960.136 | |
| 110 | 2934.434 | |
| 111 | 2964.601 | |
| 112 | 2938.379 | |
| 113 | 2911.961 | |
| 114 | 2954.632 | |
| 115 | 2971.610 | |
| 116 | 2943.901 | |
| 117 | 2901.288 | |
| 118 | 2889.108 | |
| 119 | 2949.609 | |
| 120 | 2867.565 | |
| 121 | 2930.724 | |
| 122 | 3012.013 | |
| 123 | 3014.306 | |
| 124 | 3028.661 | |
| 125 | 2933.044 | |
| 126 | 2921.229 | |
| 127 | 2859.009 | |
| 128 | 2850.817 | |
| 129 | 2855.234 | |
| 130 | 2854.285 | |
| 131 | 2818.169 | |
| 132 | 2846.787 | |
| 133 | 2854.390 | |
| 134 | 2848.506 | |
| 135 | 2840.104 | |
| 136 | 2874.768 | |
| 137 | 2898.353 | |
| 138 | 2837.272 | |
| 139 | 2847.678 | |
| 140 | 2917.898 | |
| 141 | 2926.957 | |
| 142 | 2835.408 | |
| 143 | 2805.547 | |
| 144 | 2812.873 | |
| 145 | 2780.818 | |
| 146 | 2742.436 | |
| 147 | 2714.726 | |
| 148 | 2632.642 | |
| 149 | 2587.234 | |
| 150 | 2585.669 | |
| 151 | 2606.083 | |
| 152 | 2543.087 | |
| 153 | 2503.084 | |
| 154 | 2488.143 | |
| 155 | 2540.116 | |
| 156 | 2592.409 | |
| 157 | 2541.216 | |
| 158 | 2477.011 | |
| 159 | 2520.486 | |
| 160 | 2524.698 | |
| 161 | 2502.733 | |
| 162 | 2483.970 | |
| 163 | 2492.629 | |
| 164 | 2480.578 | |
| 165 | 2476.890 | |
| 166 | 2490.122 | |
| 167 | 2470.491 | |
| 168 | 2452.893 | |
| 169 | 2420.940 | |
| 170 | 2394.253 | |
| 171 | 2369.623 | |
| 172 | 2330.336 | |
| 173 | 2330.539 | |
| 174 | 2363.378 | |
| 175 | 2428.066 | |
| 176 | 2447.115 | |
| 177 | 2540.303 | |
| 178 | 2587.277 | |
| 179 | 2623.917 | |
| 180 | 2630.588 | |
| 181 | 2612.996 | |
| 182 | 2735.724 | |
| 183 | 2694.274 | |
| 184 | 2712.137 | |
| 185 | 2675.796 | |
| 186 | 2721.744 | |
| 187 | 2809.343 | |
| 188 | 2772.689 | |
| 189 | 2686.769 | |
| 190 | 2713.516 | |
| 191 | 2669.733 | |
| 192 | 2591.127 | |
| 193 | 2624.767 | |
| 194 | 2590.496 | |
| 195 | 2610.708 | |
| 196 | 2587.312 | |
| 197 | 2682.582 | |
| 198 | 2663.429 | |
| 199 | 2670.343 | |
| 200 | 2585.445 | |
| 201 | 2542.092 | |
| 202 | 2453.209 | |
| 203 | 2460.804 | |
| 204 | 2387.893 | |
| 205 | 2485.772 | |
| 206 | 2551.813 | |
| 207 | 2520.571 | |
| 208 | 2569.075 | |
| 209 | 2580.705 | |
| 210 | 2545.142 | |
| 211 | 2584.263 | |
| 212 | 2548.804 | |
| 213 | 2501.065 | |
| 214 | 2485.026 | |
| 215 | 2454.861 | |
| 216 | 2398.165 | |
| 217 | 2434.882 | |
| 218 | 2428.135 | |
| 219 | 2459.187 | |
| 220 | 2453.696 | |
| 221 | 2441.407 | |
| 222 | 2403.556 | |
| 223 | 2426.212 | |
| 224 | 2505.979 | |
| 225 | 2573.678 | |
| 226 | 2571.888 | |
| 227 | 2598.903 | |
| 228 | 2527.392 | |
| 229 | 2585.710 | |
| 230 | 2633.569 | |
| 231 | 2713.847 | |
| 232 | 2739.159 | |
| 233 | 2705.464 | |
| 234 | 2705.808 | |
| 235 | 2659.814 | |
| 236 | 2613.097 | |
| 237 | 2646.334 | |
| 238 | 2630.165 | |
| 239 | 2662.085 | |
| 240 | 2629.415 | |
| 241 | 2668.429 | |
| 242 | 2660.702 | |
| 243 | 2674.761 | |
| 244 | 2638.776 | |
| 245 | 2619.773 | |
| 246 | 2661.018 | |
| 247 | 2632.848 | |
| 248 | 2672.462 | |
| 249 | 2700.525 | |
| 250 | 2753.675 | |
| 251 | 2877.801 | |
| 252 | 2884.716 | |
| 253 | 2923.469 | |
| 254 | 2984.666 | |
| 255 | 3031.368 | |
| 256 | 3029.552 | |
| 257 | 3109.150 | |
| 258 | 3209.485 | |
| 259 | 3128.359 | |
| 260 | 3163.893 | |
| 261 | 3054.028 | |
| 262 | 3041.591 | |
| 263 | 3051.356 | |
| 264 | 3050.503 | |
| 265 | 3004.868 | |
| 266 | 2960.379 | |
| 267 | 2916.158 | |
| 268 | 2990.913 | |
| 269 | 2964.723 | |
| 270 | 2973.814 | |
| 271 | 2895.798 | |
| 272 | 2887.858 | |
| 273 | 2838.310 | |
| 274 | 2901.117 | |
| 275 | 2890.306 | |
| 276 | 2829.425 | |
| 277 | 2779.898 | |
| 278 | 2767.591 | |
| 279 | 2685.727 | |
| 280 | 2693.271 | |
| 281 | 2676.256 | |
| 282 | 2764.320 | |
| 283 | 2773.645 | |
| 284 | 2769.003 | |
| 285 | 2730.189 | |
| 286 | 2782.724 | |
| 287 | 2801.162 | |
| 288 | 2808.709 | |
| 289 | 2705.974 | |
| 290 | 2730.194 | |
| 291 | 2862.647 | |
| 292 | 2876.628 | |
| 293 | 2881.145 | |
| 294 | 2863.849 | |
| 295 | 2891.809 | |
| 296 | 2869.411 | |
| 297 | 2879.731 | |
| 298 | 2856.533 | |
| 299 | 2871.421 | |
| 300 | 2848.475 | |
| 301 | 2888.016 | |
| 302 | 2837.131 | |
| 303 | 2931.409 | |
| 304 | 3018.595 | |
| 305 | 2977.553 | |
| 306 | 2931.195 | |
| 307 | 2850.456 | |
| 308 | 2801.959 | |
| 309 | 2795.216 | |
| 310 | 2719.276 | |
| 311 | 2670.646 | |
| 312 | 2730.706 | |
| 313 | 2738.219 | |
| 314 | 2744.611 | |
| 315 | 2722.198 | |
| 316 | 2776.314 | |
| 317 | 2761.926 | |
| 318 | 2762.167 | |
| 319 | 2689.854 | |
| 320 | 2742.510 | |
| 321 | 2727.221 | |
| 322 | 2745.014 | |
| 323 | 2757.841 | |
| 324 | 2760.350 | |
| 325 | 2818.040 | |
| 326 | 2936.395 | |
| 327 | 2957.685 | |
| 328 | 2978.813 | |
| 329 | 2990.642 | |
| 330 | 2944.639 | |
| 331 | 2893.995 | |
| 332 | 2843.783 | |
| 333 | 2816.259 | |
| 334 | 2761.104 | |
| 335 | 2807.084 | |
| 336 | 2777.650 | |
| 337 | 2828.052 | |
| 338 | 2832.557 | |
| 339 | 2785.590 | |
| 340 | 2813.350 | |
| 341 | 2830.717 | |
| 342 | 2910.347 | |
| 343 | 2826.724 | |
| 344 | 2900.444 | |
| 345 | 2850.784 | |
| 346 | 2892.149 | |
| 347 | 2854.463 | |
| 348 | 2893.450 | |
| 349 | 2877.500 | |
| 350 | 2913.919 | |
| 351 | 2843.419 | |
| 352 | 2793.413 | |
| 353 | 2839.236 | |
| 354 | 2906.800 | |
| 355 | 2889.885 | |
| 356 | 2798.262 | |
| 357 | 2684.342 | |
| 358 | 2738.222 | |
| 359 | 2857.329 | |
| 360 | 2875.824 | |
| 361 | 2833.280 | |
| 362 | 2729.849 | |
| 363 | 2713.173 | |
| 364 | 2684.417 | |
| 365 | 2763.672 | |
| 366 | 2858.256 | |
| 367 | 2921.053 | |
| 368 | 2905.141 | |
| 369 | 2863.870 | |
| 370 | 2910.639 | |
| 371 | 2849.447 | |
| 372 | 2842.854 | |
| 373 | 2869.007 | |
| 374 | 2911.915 | |
| 375 | 2931.269 | |
| 376 | 2809.576 | |
| 377 | 2836.361 | |
| 378 | 2821.174 | |
| 379 | 2792.063 | |
| 380 | 2804.460 | |
| 381 | 2809.934 | |
| 382 | 2770.230 | |
| 383 | 2794.795 | |
| 384 | 2721.368 | |
| 385 | 2704.405 | |
| 386 | 2681.108 | |
| 387 | 2615.240 | |
| 388 | 2629.904 | |
| 389 | 2634.092 | |
| 390 | 2613.008 | |
| 391 | 2657.960 | |
| 392 | 2634.989 | |
| 393 | 2636.237 | |
| 394 | 2662.212 | |
| 395 | 2628.755 | |
| 396 | 2747.088 | |
| 397 | 2678.666 | |
| 398 | 2664.717 | |
| 399 | 2657.747 | |
| 400 | 2634.284 | |
| 401 | 2584.471 | |
| 402 | 2614.554 | |
| 403 | 2621.065 | |
| 404 | 2595.598 | |
| 405 | 2539.603 | |
| 406 | 2580.659 | |
| 407 | 2568.799 | |
| 408 | 2573.044 | |
| 409 | 2576.675 | |
| 410 | 2541.251 | |
| 411 | 2534.594 | |
| 412 | 2557.035 | |
| 413 | 2558.572 | |
| 414 | 2611.863 | |
| 415 | 2549.027 | |
| 416 | 2560.218 | |
| 417 | 2537.772 | |
| 418 | 2632.810 | |
| 419 | 2679.458 | |
| 420 | 2697.333 | |
| 421 | 2704.302 | |
| 422 | 2791.094 | |
| 423 | 2782.486 | |
| 424 | 2764.251 | |
| 425 | 2761.541 | |
| 426 | 2839.453 | |
| 427 | 2844.171 | |
| 428 | 2854.337 | |
| 429 | 2852.932 | |
| 430 | 2880.859 | |
| 431 | 2905.852 | |
| 432 | 2935.226 | |
| 433 | 2996.482 | |
| 434 | 3054.836 | |
| 435 | 2981.914 | |
| 436 | 2951.972 | |
| 437 | 2897.302 | |
| 438 | 2892.487 | |
| 439 | 2912.959 | |
| 440 | 2956.422 | |
| 441 | 2906.021 | |
| 442 | 2861.768 | |
| 443 | 2900.124 | |
| 444 | 2967.342 | |
| 445 | 2962.894 | |
| 446 | 2953.035 | |
| 447 | 2905.803 | |
| 448 | 2881.267 | |
| 449 | 2868.370 | |
| 450 | 2847.678 | |
| 451 | 2869.254 | |
| 452 | 2827.889 | |
| 453 | 2785.745 | |
| 454 | 2797.759 | |
| 455 | 2862.080 | |
| 456 | 2868.759 | |
| 457 | 2837.114 | |
| 458 | 2821.401 | |
| 459 | 2793.040 | |
| 460 | 2797.806 | |
| 461 | 2746.766 | |
| 462 | 2699.899 | |
| 463 | 2749.939 | |
| 464 | 2807.635 | |
| 465 | 2812.892 | |
| 466 | 2831.262 | |
| 467 | 2857.872 | |
| 468 | 2935.720 | |
| 469 | 2988.073 | |
| 470 | 2987.058 | |
| 471 | 2999.665 | |
| 472 | 2996.425 | |
| 473 | 2999.633 | |
| 474 | 3053.719 | |
| 475 | 3010.218 | |
| 476 | 2963.925 | |
| 477 | 2944.526 | |
| 478 | 2939.125 | |
| 479 | 2920.695 | |
| 480 | 2917.447 | |
| 481 | 2843.372 | |
| 482 | 2920.269 | |
| 483 | 2946.429 | |
| 484 | 2885.398 | |
| 485 | 2891.852 | |
| 486 | 2886.727 | |
| 487 | 2859.716 | |
| 488 | 2838.207 | |
| 489 | 2785.579 | |
| 490 | 2794.472 | |
| 491 | 2776.100 | |
| 492 | 2677.032 | |
| 493 | 2674.959 | |
| 494 | 2608.521 | |
| 495 | 2563.110 | |
| 496 | 2620.620 | |
| 497 | 2577.527 | |
| 498 | 2577.797 | |
| 499 | 2580.299 | |
| 500 | 2650.042 | |
| 501 | 2705.962 | |
| 502 | 2777.773 | |
| 503 | 2813.581 | |
| 504 | 2735.694 | |
| 505 | 2728.083 | |
| 506 | 2782.621 | |
| 507 | 2764.283 | |
| 508 | 2685.057 | |
| 509 | 2683.052 | |
| 510 | 2601.945 | |
| 511 | 2611.202 | |
| 512 | 2696.324 | |
| 513 | 2733.996 | |
| 514 | 2749.015 | |
| 515 | 2833.301 | |
| 516 | 2763.808 | |
| 517 | 2752.245 | |
| 518 | 2799.045 | |
| 519 | 2804.694 | |
| 520 | 2765.144 | |
| 521 | 2714.056 | |
| 522 | 2746.051 | |
| 523 | 2792.388 | |
| 524 | 2780.562 | |
| 525 | 2761.692 | |
| 526 | 2740.108 | |
| 527 | 2711.016 | |
| 528 | 2755.903 | |
| 529 | 2738.269 | |
| 530 | 2825.762 | |
| 531 | 2887.467 | |
| 532 | 2925.612 | |
| 533 | 2989.713 | |
| 534 | 2981.999 | |
| 535 | 2982.718 | |
| 536 | 3032.240 | |
| 537 | 3072.555 | |
| 538 | 3062.854 | |
| 539 | 3034.563 | |
| 540 | 3148.601 | |
| 541 | 3117.630 | |
| 542 | 3040.323 | |
| 543 | 3068.398 | |
| 544 | 3085.248 | |
| 545 | 3127.744 | |
| 546 | 3097.969 | |
| 547 | 3059.448 | |
| 548 | 3055.283 | |
| 549 | 3013.014 | |
| 550 | 2976.332 | |
| 551 | 2976.087 | |
| 552 | 2973.914 | |
| 553 | 3036.843 | |
| 554 | 2979.740 | |
| 555 | 2976.842 | |
| 556 | 3013.765 | |
| 557 | 3062.077 | |
| 558 | 3087.012 | |
| 559 | 3044.391 | |
| 560 | 3069.910 | |
| 561 | 3064.089 | |
| 562 | 3065.752 | |
| 563 | 3120.160 | |
| 564 | 3079.728 | |
| 565 | 3016.537 | |
| 566 | 2884.108 | |
| 567 | 2858.208 | |
| 568 | 2770.343 | |
| 569 | 2728.014 | |
| 570 | 2733.111 | |
| 571 | 2825.269 | |
| 572 | 2853.637 | |
| 573 | 2796.287 | |
| 574 | 2806.374 | |
| 575 | 2831.132 | |
| 576 | 2802.076 | |
| 577 | 2822.304 | |
| 578 | 2864.387 | |
| 579 | 2851.713 | |
| 580 | 2821.881 | |
| 581 | 2776.902 | |
| 582 | 2709.566 | |
| 583 | 2638.249 | |
| 584 | 2606.221 | |
| 585 | 2666.962 | |
| 586 | 2687.702 | |
| 587 | 2649.591 | |
| 588 | 2639.964 | |
| 589 | 2728.220 | |
| 590 | 2734.123 | |
| 591 | 2700.662 | |
| 592 | 2695.927 | |
| 593 | 2751.185 | |
| 594 | 2786.962 | |
| 595 | 2782.413 | |
| 596 | 2717.397 | |
| 597 | 2684.343 | |
| 598 | 2703.566 | |
| 599 | 2706.386 | |
| 600 | 2715.455 | |
| 601 | 2701.555 | |
| 602 | 2672.024 | |
| 603 | 2655.873 | |
| 604 | 2732.393 | |
| 605 | 2738.302 | |
| 606 | 2759.016 | |
| 607 | 2821.209 | |
| 608 | 2799.810 | |
| 609 | 2837.219 | |
| 610 | 2900.706 | |
| 611 | 2932.195 | |
| 612 | 2959.853 | |
| 613 | 2922.354 | |
| 614 | 2955.369 | |
| 615 | 3047.559 | |
| 616 | 3102.275 | |
| 617 | 3078.192 | |
| 618 | 3155.283 | |
| 619 | 3108.171 | |
| 620 | 3189.085 | |
| 621 | 3169.594 | |
| 622 | 3193.205 | |
| 623 | 3209.502 | |
| 624 | 3184.204 | |
| 625 | 3139.238 | |
| 626 | 3142.943 | |
| 627 | 3088.150 | |
| 628 | 3061.119 | |
| 629 | 3111.850 | |
| 630 | 3112.116 | |
| 631 | 3124.221 | |
| 632 | 3097.359 | |
| 633 | 3151.810 | |
| 634 | 3136.257 | |
| 635 | 3143.856 | |
| 636 | 3138.026 | |
| 637 | 3098.123 | |
| 638 | 3076.659 | |
| 639 | 3120.393 | |
| 640 | 3128.749 | |
| 641 | 3129.504 | |
| 642 | 3184.402 | |
| 643 | 3140.478 | |
| 644 | 3046.500 | |
| 645 | 3011.434 | |
| 646 | 2980.551 | |
| 647 | 2988.208 | |
| 648 | 3046.147 | |
| 649 | 2975.501 | |
| 650 | 2880.269 | |
| 651 | 2935.969 | |
| 652 | 2881.631 | |
| 653 | 2918.663 | |
| 654 | 2900.724 | |
| 655 | 2939.665 | |
| 656 | 2910.911 | |
| 657 | 2903.574 | |
| 658 | 2871.293 | |
| 659 | 2906.775 | |
| 660 | 2869.293 | |
| 661 | 2878.422 | |
| 662 | 2848.438 | |
| 663 | 2861.857 | |
| 664 | 2871.338 | |
| 665 | 2847.245 | |
| 666 | 2854.392 | |
| 667 | 2896.257 | |
| 668 | 2946.644 | |
| 669 | 2948.082 | |
| 670 | 2900.414 | |
| 671 | 2866.378 | |
| 672 | 2915.672 | |
| 673 | 2995.090 | |
| 674 | 2949.375 | |
| 675 | 3026.319 | |
| 676 | 3005.291 | |
| 677 | 2997.215 | |
| 678 | 2966.500 | |
| 679 | 3001.243 | |
| 680 | 2964.356 | |
| 681 | 2919.017 | |
| 682 | 2843.186 | |
| 683 | 2833.758 | |
| 684 | 2805.383 | |
| 685 | 2811.900 | |
| 686 | 2787.888 | |
| 687 | 2749.849 | |
| 688 | 2758.263 | |
| 689 | 2740.401 | |
| 690 | 2737.368 | |
| 691 | 2737.977 | |
| 692 | 2710.878 | |
| 693 | 2700.483 | |
| 694 | 2674.559 | |
| 695 | 2681.667 | |
| 696 | 2671.858 | |
| 697 | 2731.928 | |
| 698 | 2770.209 | |
| 699 | 2729.264 | |
| 700 | 2697.632 | |
| 701 | 2689.677 | |
| 702 | 2711.453 | |
| 703 | 2700.626 | |
| 704 | 2765.919 | |
| 705 | 2641.133 | |
| 706 | 2590.387 | |
| 707 | 2606.612 | |
| 708 | 2579.819 | |
| 709 | 2514.876 | |
| 710 | 2587.269 | |
| 711 | 2536.520 | |
| 712 | 2518.334 | |
| 713 | 2540.261 | |
| 714 | 2467.572 | |
| 715 | 2441.840 | |
| 716 | 2427.963 | |
| 717 | 2450.680 | |
| 718 | 2508.302 | |
| 719 | 2532.645 | |
| 720 | 2581.099 | |
| 721 | 2488.517 | |
| 722 | 2500.494 | |
| 723 | 2507.338 | |
| 724 | 2416.130 | |
| 725 | 2344.066 | |
| 726 | 2361.453 | |
| 727 | 2341.640 | |
| 728 | 2374.329 | |
| 729 | 2411.994 | |
| 730 | 2417.050 | |
| 731 | 2431.862 | |
| 732 | 2416.318 | |
| 733 | 2387.969 | |
| 734 | 2388.142 | |
| 735 | 2413.261 | |
| 736 | 2439.616 | |
| 737 | 2447.674 | |
| 738 | 2486.347 | |
| 739 | 2499.974 | |
| 740 | 2496.529 | |
| 741 | 2462.435 | |
| 742 | 2504.663 | |
| 743 | 2477.627 | |
| 744 | 2475.929 | |
| 745 | 2446.972 | |
| 746 | 2487.466 | |
| 747 | 2542.637 | |
| 748 | 2504.416 | |
| 749 | 2520.023 | |
| 750 | 2533.743 | |
| 751 | 2491.499 | |
| 752 | 2442.131 | |
| 753 | 2458.639 | |
| 754 | 2448.034 | |
| 755 | 2521.614 | |
| 756 | 2479.967 | |
| 757 | 2406.718 | |
| 758 | 2390.533 | |
| 759 | 2391.588 | |
| 760 | 2389.806 | |
| 761 | 2408.878 | |
| 762 | 2411.516 | |
| 763 | 2355.726 | |
| 764 | 2356.213 | |
| 765 | 2378.114 | |
| 766 | 2356.003 | |
| 767 | 2394.481 | |
| 768 | 2406.225 | |
| 769 | 2446.744 | |
| 770 | 2416.235 | |
| 771 | 2381.478 | |
| 772 | 2323.936 | |
| 773 | 2307.499 | |
| 774 | 2232.745 | |
| 775 | 2184.819 | |
| 776 | 2158.790 | |
| 777 | 2160.589 | |
| 778 | 2202.620 | |
| 779 | 2194.233 | |
| 780 | 2157.477 | |
| 781 | 2136.395 | |
| 782 | 2100.265 | |
| 783 | 2103.725 | |
| 784 | 2069.414 | |
| 785 | 2055.908 | |
| 786 | 2105.017 | |
| 787 | 2085.812 | |
| 788 | 2113.936 | |
| 789 | 2129.463 | |
| 790 | 2107.858 | |
| 791 | 2076.767 | |
| 792 | 2135.158 | |
| 793 | 2090.107 | |
| 794 | 2033.106 | |
| 795 | 2028.852 | |
| 796 | 2065.125 | |
| 797 | 2081.538 | |
| 798 | 2080.253 | |
| 799 | 2023.941 | |
| 800 | 2004.747 | |
| 801 | 1980.582 | |
| 802 | 1987.715 | |
| 803 | 2061.835 | |
| 804 | 2088.840 | |
| 805 | 2051.726 | |
| 806 | 2062.183 | |
| 807 | 2072.867 | |
| 808 | 2110.128 | |
| 809 | 2132.368 | |
| 810 | 2144.656 | |
| 811 | 2126.308 | |
| 812 | 2146.558 | |
| 813 | 2151.124 | |
| 814 | 2057.193 | |
| 815 | 2029.143 | |
| 816 | 1992.860 | |
| 817 | 1962.567 | |
| 818 | 1916.584 | |
| 819 | 1883.653 | |
| 820 | 1905.889 | |
| 821 | 1913.166 | |
| 822 | 1887.808 | |
| 823 | 1844.271 | |
| 824 | 1833.062 | |
| 825 | 1807.954 | |
| 826 | 1830.533 | |
| 827 | 1853.610 | |
| 828 | 1877.653 | |
| 829 | 1895.017 | |
| 830 | 1911.382 | |
| 831 | 1907.865 | |
| 832 | 1953.403 | |
| 833 | 1985.531 | |
| 834 | 1955.814 | |
| 835 | 1948.611 | |
| 836 | 1923.391 | |
| 837 | 1960.514 | |
| 838 | 1967.923 | |
| 839 | 2023.762 | |
| 840 | 2037.457 | |
| 841 | 2034.837 | |
| 842 | 2136.054 | |
| 843 | 2146.050 | |
| 844 | 2208.363 | |
| 845 | 2181.885 | |
| 846 | 2240.206 | |
| 847 | 2190.508 | |
| 848 | 2207.380 | |
| 849 | 2270.009 | |
| 850 | 2261.292 | |
| 851 | 2258.279 | |
| 852 | 2274.721 | |
| 853 | 2264.704 | |
| 854 | 2271.382 | |
| 855 | 2299.117 | |
| 856 | 2278.027 | |
| 857 | 2318.435 | |
| 858 | 2296.240 | |
| 859 | 2269.283 | |
| 860 | 2279.449 | |
| 861 | 2228.028 | |
| 862 | 2157.748 | |
| 863 | 2163.450 | |
| 864 | 2162.816 | |
| 865 | 2125.580 | |
| 866 | 2144.054 | |
| 867 | 2118.489 | |
| 868 | 2119.321 | |
| 869 | 2134.342 | |
| 870 | 2204.155 | |
| 871 | 2246.245 | |
| 872 | 2260.955 | |
| 873 | 2224.410 | |
| 874 | 2268.331 | |
| 875 | 2308.658 | |
| 876 | 2357.144 | |
| 877 | 2419.795 | |
| 878 | 2384.256 | |
| 879 | 2467.838 | |
| 880 | 2470.123 | |
| 881 | 2546.806 | |
| 882 | 2607.304 | |
| 883 | 2704.215 | |
| 884 | 2661.772 | |
| 885 | 2727.414 | |
| 886 | 2776.816 | |
| 887 | 2752.889 | |
| 888 | 2706.578 | |
| 889 | 2773.365 | |
| 890 | 2798.688 | |
| 891 | 2797.979 | |
| 892 | 2848.410 | |
| 893 | 2858.747 | |
| 894 | 2814.957 | |
| 895 | 2815.991 | |
| 896 | 2804.277 | |
| 897 | 2820.944 | |
| 898 | 2763.281 | |
| 899 | 2743.883 | |
| 900 | 2712.666 | |
| 901 | 2791.043 | |
| 902 | 2819.580 | |
| 903 | 2845.938 | |
| 904 | 2861.806 | |
| 905 | 2933.237 | |
| 906 | 2916.546 | |
| 907 | 2876.945 | |
| 908 | 2884.968 | |
| 909 | 2805.908 | |
| 910 | 2713.929 | |
| 911 | 2701.706 | |
| 912 | 2703.067 | |
| 913 | 2719.067 | |
| 914 | 2706.763 | |
| 915 | 2655.378 | |
| 916 | 2663.030 | |
| 917 | 2628.097 | |
| 918 | 2597.321 | |
| 919 | 2566.283 | |
| 920 | 2574.955 | |
| 921 | 2583.018 | |
| 922 | 2638.284 | |
| 923 | 2594.133 | |
| 924 | 2721.747 | |
| 925 | 2747.046 | |
| 926 | 2744.686 | |
| 927 | 2684.472 | |
| 928 | 2706.635 | |
| 929 | 2727.928 | |
| 930 | 2809.117 | |
| 931 | 2805.425 | |
| 932 | 2784.159 | |
| 933 | 2845.551 | |
| 934 | 2764.968 | |
| 935 | 2778.078 | |
| 936 | 2866.692 | |
| 937 | 2880.451 | |
| 938 | 2884.058 | |
| 939 | 2862.340 | |
| 940 | 2860.036 | |
| 941 | 2805.554 | |
| 942 | 2691.331 | |
| 943 | 2641.346 | |
| 944 | 2720.885 | |
| 945 | 2661.592 | |
| 946 | 2692.486 | |
| 947 | 2707.652 | |
| 948 | 2600.569 | |
| 949 | 2657.911 | |
| 950 | 2629.402 | |
| 951 | 2556.895 | |
| 952 | 2559.826 | |
| 953 | 2519.487 | |
| 954 | 2511.234 | |
| 955 | 2450.533 | |
| 956 | 2471.633 | |
| 957 | 2484.285 | |
| 958 | 2497.689 | |
| 959 | 2528.351 | |
| 960 | 2493.937 | |
| 961 | 2442.092 | |
| 962 | 2472.944 | |
| 963 | 2452.982 | |
| 964 | 2442.766 | |
| 965 | 2508.568 | |
| 966 | 2555.438 | |
| 967 | 2501.219 | |
| 968 | 2462.009 | |
| 969 | 2412.502 | |
| 970 | 2453.770 | |
| 971 | 2538.592 | |
| 972 | 2518.126 | |
| 973 | 2465.336 | |
| 974 | 2423.725 | |
| 975 | 2440.217 | |
| 976 | 2410.732 | |
| 977 | 2453.407 | |
| 978 | 2444.103 | |
| 979 | 2378.294 | |
| 980 | 2388.554 | |
| 981 | 2345.956 | |
| 982 | 2374.480 | |
| 983 | 2472.222 | |
| 984 | 2511.618 | |
| 985 | 2501.943 | |
| 986 | 2513.753 | |
| 987 | 2464.081 | |
| 988 | 2499.182 | |
| 989 | 2422.674 | |
| 990 | 2414.188 | |
| 991 | 2443.140 | |
| 992 | 2478.551 | |
| 993 | 2486.733 | |
| 994 | 2517.197 | |
| 995 | 2522.282 | |
| 996 | 2547.163 | |
| 997 | 2544.560 | |
| 998 | 2540.626 | |
| 999 | 2570.726 | |
| 1000 | 2608.460 | |
| 1001 | 2640.382 | |
| 1002 | 2628.529 | |
| 1003 | 2674.921 | |
| 1004 | 2717.660 | |
| 1005 | 2657.402 | |
| 1006 | 2638.712 | |
| 1007 | 2641.558 | |
| 1008 | 2571.621 | |
| 1009 | 2617.369 | |
| 1010 | 2606.753 | |
| 1011 | 2582.220 | |
| 1012 | 2572.620 | |
| 1013 | 2596.062 | |
| 1014 | 2622.902 | |
| 1015 | 2519.903 | |
| 1016 | 2462.245 | |
| 1017 | 2433.020 | |
| 1018 | 2488.736 | |
| 1019 | 2443.143 | |
| 1020 | 2373.454 | |
| 1021 | 2431.762 | |
| 1022 | 2453.509 | |
| 1023 | 2456.226 | |
| 1024 | 2491.483 | |
| 1025 | 2496.684 | |
| 1026 | 2430.646 | |
| 1027 | 2463.415 | |
| 1028 | 2446.709 | |
| 1029 | 2427.805 | |
| 1030 | 2396.654 | |
| 1031 | 2364.121 | |
| 1032 | 2343.850 | |
| 1033 | 2313.145 | |
| 1034 | 2278.822 | |
| 1035 | 2332.203 | |
| 1036 | 2287.141 | |
| 1037 | 2236.456 | |
| 1038 | 2201.066 | |
| 1039 | 2150.846 | |
| 1040 | 2121.303 | |
| 1041 | 2080.031 | |
| 1042 | 2034.821 | |
| 1043 | 2085.544 | |
| 1044 | 2170.540 | |
| 1045 | 2167.005 | |
| 1046 | 2187.584 | |
| 1047 | 2150.070 | |
| 1048 | 2117.169 | |
| 1049 | 2112.921 | |
| 1050 | 2087.632 | |
| 1051 | 2100.773 | |
| 1052 | 2127.546 | |
| 1053 | 2117.911 | |
| 1054 | 2103.255 | |
| 1055 | 2123.594 | |
| 1056 | 2127.478 | |
| 1057 | 2115.761 | |
| 1058 | 2072.961 | |
| 1059 | 2009.603 | |
| 1060 | 2011.708 | |
| 1061 | 2031.066 | |
| 1062 | 2038.515 | |
| 1063 | 2100.215 | |
| 1064 | 2139.357 | |
| 1065 | 2165.110 | |
| 1066 | 2155.562 | |
| 1067 | 2083.278 | |
| 1068 | 2108.953 | |
| 1069 | 2099.522 | |
| 1070 | 2137.316 | |
| 1071 | 2105.410 | |
| 1072 | 2139.897 | |
| 1073 | 2205.998 | |
| 1074 | 2184.878 | |
| 1075 | 2193.170 | |
| 1076 | 2173.918 | |
| 1077 | 2180.282 | |
| 1078 | 2139.820 | |
| 1079 | 2109.081 | |
| 1080 | 2092.346 | |
| 1081 | 2120.788 | |
| 1082 | 2207.528 | |
| 1083 | 2180.060 | |
| 1084 | 2139.246 | |
| 1085 | 2133.987 | |
| 1086 | 2171.886 | |
| 1087 | 2198.773 | |
| 1088 | 2242.439 | |
| 1089 | 2189.545 | |
| 1090 | 2165.431 | |
| 1091 | 2141.930 | |
| 1092 | 2094.597 | |
| 1093 | 2102.274 | |
| 1094 | 2060.335 | |
| 1095 | 2030.246 | |
| 1096 | 2069.694 | |
| 1097 | 2155.480 | |
| 1098 | 2165.010 | |
| 1099 | 2110.589 | |
| 1100 | 2123.086 | |
| 1101 | 2172.045 | |
| 1102 | 2218.566 | |
| 1103 | 2220.462 | |
| 1104 | 2217.183 | |
| 1105 | 2247.803 | |
| 1106 | 2246.710 | |
| 1107 | 2243.850 | |
| 1108 | 2277.542 | |
| 1109 | 2206.481 | |
| 1110 | 2159.748 | |
| 1111 | 2149.822 | |
| 1112 | 2217.483 | |
| 1113 | 2141.458 | |
| 1114 | 2133.958 | |
| 1115 | 2112.573 | |
| 1116 | 2135.175 | |
| 1117 | 2178.526 | |
| 1118 | 2158.245 | |
| 1119 | 2203.767 | |
| 1120 | 2185.548 | |
| 1121 | 2231.962 | |
| 1122 | 2197.156 | |
| 1123 | 2240.943 | |
| 1124 | 2227.798 | |
| 1125 | 2240.538 | |
| 1126 | 2226.575 | |
| 1127 | 2241.945 | |
| 1128 | 2216.234 | |
| 1129 | 2174.152 | |
| 1130 | 2220.600 | |
| 1131 | 2191.875 | |
| 1132 | 2153.046 | |
| 1133 | 2137.858 | |
| 1134 | 2127.592 | |
| 1135 | 2127.116 | |
| 1136 | 2129.413 | |
| 1137 | 2087.092 | |
| 1138 | 2045.473 | |
| 1139 | 2074.304 | |
| 1140 | 2065.831 | |
| 1141 | 2106.096 | |
| 1142 | 2047.236 | |
| 1143 | 1943.257 | |
| 1144 | 1958.527 | |
| 1145 | 1900.883 | |
| 1146 | 1960.932 | |
| 1147 | 1953.259 | |
| 1148 | 1946.742 | |
| 1149 | 1991.956 | |
| 1150 | 1987.657 | |
| 1151 | 1972.669 | |
| 1152 | 1967.573 | |
| 1153 | 1892.217 | |
| 1154 | 1834.063 | |
| 1155 | 1830.896 | |
| 1156 | 1816.326 | |
| 1157 | 1793.966 | |
| 1158 | 1835.397 | |
| 1159 | 1817.824 | |
| 1160 | 1814.469 | |
| 1161 | 1863.316 | |
| 1162 | 1923.835 | |
| 1163 | 1900.238 | |
| 1164 | 1926.445 | |
| 1165 | 1956.391 | |
| 1166 | 1987.521 | |
| 1167 | 1952.357 | |
| 1168 | 1838.404 | |
| 1169 | 1849.582 | |
| 1170 | 1893.619 | |
| 1171 | 1910.163 | |
| 1172 | 1886.382 | |
| 1173 | 1876.517 | |
| 1174 | 1875.945 | |
| 1175 | 1886.460 | |
| 1176 | 1869.356 | |
| 1177 | 1835.707 | |
| 1178 | 1782.845 | |
| 1179 | 1846.343 | |
| 1180 | 1823.266 | |
| 1181 | 1843.605 | |
| 1182 | 1848.555 | |
| 1183 | 1889.277 | |
| 1184 | 1846.708 | |
| 1185 | 1951.790 | |
| 1186 | 1922.627 | |
| 1187 | 1953.330 | |
| 1188 | 1995.592 | |
| 1189 | 2022.770 | |
| 1190 | 1997.497 | |
| 1191 | 1991.975 | |
| 1192 | 2012.635 | |
| 1193 | 1995.077 | |
| 1194 | 1977.923 | |
| 1195 | 1979.810 | |
| 1196 | 1994.088 | |
| 1197 | 2023.491 | |
| 1198 | 1984.646 | |
| 1199 | 1933.822 | |
| 1200 | 1903.832 | |
| 1201 | 1895.398 | |
| 1202 | 1913.768 | |
| 1203 | 1870.575 | |
| 1204 | 1839.965 | |
| 1205 | 1837.430 | |
| 1206 | 1800.179 | |
| 1207 | 1788.874 | |
| 1208 | 1788.996 | |
| 1209 | 1737.652 | |
| 1210 | 1710.261 | |
| 1211 | 1693.678 | |
| 1212 | 1662.531 | |
| 1213 | 1641.011 | |
| 1214 | 1614.136 | |
| 1215 | 1612.798 | |
| 1216 | 1549.413 | |
| 1217 | 1579.472 | |
| 1218 | 1534.859 | |
| 1219 | 1469.311 | |
| 1220 | 1484.656 | |
| 1221 | 1475.537 | |
| 1222 | 1478.333 | |
| 1223 | 1452.312 | |
| 1224 | 1470.046 | |
| 1225 | 1435.939 | |
| 1226 | 1456.556 | |
| 1227 | 1435.106 | |
| 1228 | 1429.931 | |
| 1229 | 1485.632 | |
| 1230 | 1496.172 | |
| 1231 | 1500.714 | |
| 1232 | 1506.941 | |
| 1233 | 1540.257 | |
| 1234 | 1517.883 | |
| 1235 | 1555.106 | |
| 1236 | 1551.643 | |
| 1237 | 1566.007 | |
| 1238 | 1573.491 | |
| 1239 | 1557.191 | |
| 1240 | 1563.041 | |
| 1241 | 1561.243 | |
| 1242 | 1530.568 | |
| 1243 | 1490.456 | |
| 1244 | 1479.885 | |
| 1245 | 1465.868 | |
| 1246 | 1460.479 | |
| 1247 | 1462.277 | |
| 1248 | 1482.827 | |
| 1249 | 1494.624 | |
| 1250 | 1522.478 | |
1
2
3
4
5
6
7
A
B
Derivative Pricing & Valuation AFE-7507
These data sets record the consecutive daily observed prices for various different stock indices.
The number of daily observations per year for each series is 250; the total number of observations is 1251 or 5 years plus one day.
The 6-month forward price and the at-the-money 6-month European call option premium for the last observed day is also recorded.
The relevant annual continuous risk-free rate for all short-term maturities (less than 18 months) is 3.6%.
