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  • August 14, 2021
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Partial-Time Floating-Strike Lookback Option

A floating-strike lookback option in which the lookback period starts at inception (contracting date/ trading date or the date the option contract is entered into and hence comes into effect) and ends at some pre-specified date before expiration. Except for the partial lookback period, the option is identical to a floating strike lookback option. However, the partial-time floating strike lookback option costs less (in terms of premium) than an otherwise similar standard floating strike lookback option.

Pricing of partial-time floating strike lookback options can be carried out using a model introduced by Heynen and Kat (1994).


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