Exotic Options – Lookback with Floating Strike (Partial Time)

File Name: Exotic Options – Lookback with Floating Strike Partial Time

Location: Modeling Toolkit | Exotic Options | Lookback Floating Strike Partial Time

Brief Description: Computes the value of an option where the strike price is not fixed but floating, and the value at expiration is based on the value of the underlying asset’s maximum and minimum values starting from the lookback inception time to maturity, as the purchase or sale price

Requirements: Modeling Toolkit

Modeling Toolkit Functions Used: MTFloatingStrikePartialLookbackCallonMin, MTFloatingStrikePartialLookbackPutonMax

In a Floating Strike Option with Lookback Feature (Partial Time), the strike price is floating. At expiration, the payoff on the call option is being able to purchase the underlying asset at the minimum observed price from inception to the end of the lookback time. Conversely, the put will allow the option holder to sell at the maximum observed asset price from inception to the end of the lookback time (Figure 63.1).

Figure 63.1: Lookback options with floating strike (partial lookback)

error: Content is protected !!