Voir iotafinance en FrançaisYou are viewing the English version of iotafinance.comIotafinance auf Deutsch sehen
Icon for the finance formula section

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

icon of the financial acronyms app for iOS

Financial acronyms

The entire acronym collection of this site is now also available offline with this new app for iPhone and iPad.

 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