Voir iotafinance en FrançaisYou are viewing the English version of iotafinance.comIotafinance auf Deutsch sehen

Value at expiry of a lookback call option with fixed strike

Tags: 

Description

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

Formula

\[ LC_{fix}=max\left ( S_{max}-K,0 \right ) \ \]

Legend

\(K\ \)        Option strike price
\(S_{max}\ \)        Maximum price of the underlying during the option's lifetime