File Name: Exotic Options – Lookback with Fixed Strike
Location: Modeling Toolkit | Exotic Options | Lookback Fixed Strike
Brief Description: Computes the value of an option where the strike price is fixed but the value at expiration is based on the value of the underlying asset’s maximum and minimum values during the option’s lifetime
Requirements: Modeling Toolkit
Modeling Toolkit Functions Used: MTFixedStrikeLookbackCall, MTFixedStrikeLookbackPut
In a Fixed Strike Option with Lookback Feature, 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 lifetime of the option. Conversely, the put will pay the maximum difference between the lowest observed asset price less the strike price during the lifetime of the option (Figure 62.1).
Figure 62.1: Lookback options with fixed strike
