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Value at expiry of a lookback put option with variable strike

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Description

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

Formula

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

Legend

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