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)
