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Lookback option, fixed strike

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created by: Thijs van den Berg (http://www.sitmo.com)
Lookback option, fixed strike equation

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The fixed strike lookback call has a payout which is the (positive) difference between the highest price of the underlying and a fixed strike. Similary, the fixed strike lookback put has a payout of the positive difference between the strike and the minimum of the underlying.

List of symbols

Value of the fixed strike lookback call option at expiration
Value of the fixed strike lookback put option at expiration
T Time of expiration
K Strike (excercise) price

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