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Lookback options B&S formula
Hi,I have to compute the price of a lookback call option on a minimum, I want to use a Black&Scholes closed formula as shown here:http://en.wikipedia.org/wiki/Lookback_optionhowever I don't know which value I need to use as the minimum... how can i find it?
Lookback options B&S formula
From link:Quotethe time of maturity is T>0, we will price the option at time t<T, although the life of the option started at time zero.The minimum m is found by scanning the stock price from time 0 to time tin other words from the start of the option's life (0) until the present time (t); this time interval is in the past, so the minimum can easily be found. It is "the lowest stock price seen since the option was issued".If the option is "newborn", that is at time 0 then the minimum m is simply the stock price S_0.
Last edited by acastaldo on August 29th, 2014, 10:00 pm, edited 1 time in total.