LOOKBACK OPTION

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Graphical Representation of Option Price

Lookback Options are options which the holder can buy/sell the underlying asset at the lowest/highest price achieved during the life of the option.
Call Lookback Option is the option to buy at the lowest cost, while the
Put Lookback Option is the option to sell at the highest price.
The payoffs from Lookback Options depend on the maximum or minimum price reached during the life of the option.
If Smin is the minimum price reached, Smax is the maximum price reached, and ST is the final price reached,
the payoff from a Lookback Call is max(0,ST - Smin), and similarly the payoff from a Lookback Put is max(0,Smax - ST).

Pricing Models Page Available is a Swing Java Jar File if you just wish to run the models.


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