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Aug 22

Floating Strike Lookback Option

Posted by abiao at 17:31 | Code » Matlab | Comments(0) | Reads(10810)
The payoffs from lookback options depend on the maximum or minimum asset price reached during the life of the option.  The payoff from a European-style lookback call is the amount that the final asset price exceeds the minimum asset price achieved during the life of the option. The payoff from a European-style lookback put is the amount by which the maximumasset price achieved during the life of the option exceeds the final asset price.

Floating Strike Lookback Options means the strike is given as the optimal(maximum or minimum) value of the underlying asset. Matlab code for pricing it is here:

http://www.global-derivatives.com/code/matlab/Lookback-FloatingStrike.m


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