Value at expiry of a lookback put option with variable strike formula
Description of the Value at expiry of a lookback put option with variable strike formula
Formula for the calculation of the value at expiry of a lookback put option with a variable strike
Formula
\[ LP_{var}=max\left ( S_{max}-S_{T},0 \right ) \ \]
Symbols
\(S_{max}\ \)
Maximum price of the underlying during the option's lifetime
\(S_{T}\ \)
Price of the underlying at expiry date T of the option
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