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

Tags:  options valuation and pricing

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

LPvar=max(Smax−ST,0) 

Symbols

Smax        
Maximum 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

Lookback option  •  Option  •  Put option

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Option strategy calculator   •   Pricing of an option (Black & Scholes)