What's new

YouTube T3-45 - Exotic options: floating and fixed lookback option

Nicole Seaman

Chief Admin Officer
Staff member
Subscriber
Thread starter #1
Floating lookback options have no strike price. The payoff of a floating lookback call is given by S(t) - S(min) and the payoff of a floating lookback put is given by S(max) - S(t). Fixed lookback options do have strike prices. The payoff of a fixed lookback call is given by max[0, S(Max) - K] and the payoff of a fixed lookback put is given by max[0, K - S(Min)]. These are path-dependent options and the more frequently we observe the price, the more valuable (aka, expensive) are the lookback options.

David's XLS: https://trtl.bz/2UHy71m


YT sub small.png
 
Top