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Value at expiry of a lookback call option with variable strike formula

Tags:  options valuation and pricing

Description of the Value at expiry of a lookback call option with variable strike formula

Formula for the calculation of the value at expiry of a lookback call option with a variable strike

Formula

LCvar=max(ST−Smin,0) 

Symbols

Smin        
Minimum price of the underlying during the option's lifetime
ST        
Price of the underlying at expiry date T of the option

Additional information related to this formula

Related definitions from the glossary of financial terms

Call option  •  Lookback option  •  Option

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