floating-lookback-option

Learning objectives: Define and contrast exotic derivatives and plain vanilla derivatives ... Identify and describe the characteristics and payoff structures of the following exotic options: gap, forward start, compound, chooser, barrier, binary, lookback, Asian, exchange, and basket options...

Floating lookback options have no strike price. The payoff of a floating lookback call is given by S(t) - S(min) and the payoff of a floating lookback put is given by S(max) - S(t). Fixed lookback options do have strike prices. The payoff of a fixed lookback call is given by max[0, S(Max) - K]...