File Name: Exotic Options – Lookback with Fixed Strike Partial Time
Location: Modeling Toolkit | Exotic Options | Lookback Fixed Strike Partial Time
Brief Description: Computes an option where the strike price is predetermined but the payoff on the option is the difference between the highest or the lowest attained asset price against the strike
Requirements: Modeling Toolkit
Modeling Toolkit Functions Used: MTFixedStrikePartialLookbackCall, MTFixedStrikePartialLookbackPut
In a Fixed Strike Option with Lookback Feature (Partial Time), the strike price is predetermined, while at expiration, the payoff on the call option is the difference between the maximum asset price less the strike price during the time between the starting period of the lookback to the maturity of the option (Figure 61.1). Conversely, the put will pay the maximum difference between the lowest observed asset price less the strike price during the time between the starting period of the lookback to the maturity of the option.
Figure 61.1: Lookback options with fixed strike (partial lookback time)