A fixed strike lookback option in which the lookback period (partial time- PT) starts at a preset date after the trading date of the option. For a call option (PT fixed strike lookback call option), the payoff from the option is the difference between the maximum level reached by the price of the underlying asset during the partial lookback period and the fixed strike price. For a put option (PT fixed strike lookback put option), the payoff is the difference between the fixed strike price and the minimum level reached by the price of the underlying asset during the partial lookback period. Typically, the PT fixed strike lookback option costs less (in terms of premium) than an otherwise similar standard fixed strike lookback option.
Pricing of PT fixed strike lookback options can be carried out using a model introduced by Heynen and Kat (1994).
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