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Fixed Strike Lookback Options

Fixed strike Lookback call

where

,

and when X

where

,

Fixed strike Lookback put

where

,

and when X

where

,

where

c = European call price

p = European put price

S = Spot price of underling asset

X = Strike price

b = cost of carry

T = Time to maturity

s?= Volatility of underling asset

N = Cumulative normal distribution

See Also

oX_Lookback_FXStrike( ) Function

oX_Lookback_FXStrike_Imp( ) Function

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