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PT 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 (partial time- PT), the option is identical to a floating strike lookback option. However, the PT floating strike lookback option costs less (in terms of premium) than an otherwise similar standard floating strike lookback option.

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


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