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Floating Strike Lookback Options

Floating Strike Lookback Call

where

where

c = European call price

S = Spot price of underling asset

X = Strike price

b = cost of carry

T = Time to maturity

= Volatility of underling asset

N = Cumulative normal distribution

Floating Strike Lookback Put

where

where

p = European call price

S = Spot price of underlying asset

X = Strike price

b = Cost of carry

T = Time to maturity

= Volatility of underling asset

N = Cumulative normal distribution

 

See Also

oX_Lookback_FLStrike( ) Function

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