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Value at expiry of a lookback call option with variable strike

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Description

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

Formula

\[ LC_{var}=max\left ( S_{T}-S_{min},0 \right ) \ \]

Legend

\(S_{min}\ \)        Mimimum price of the underlying during the option's lifetime
\(S_{T}\ \)        Price of the underlying at expiry date T of the option