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Compute the prices of European Lookback call or put options of type
floating strike or fixed strike.
Floating Strike options:
A floating strike lookback call / put gives you the right to buy / sell the
the underlying security at the lowest / highest price observed during options
lifetime. Pricing according to Goldman, Sosin and Gatto (1979) ("Path dependent
options: Buy at the Low Sell at the High", Journal of Finance, 34(5), 1111-
1127) valuation formulas.
Fixed Strike options:
A fixed strike lookback call / put pays out the maximum of the difference
between the highed observed price and the strike and 0 (call option) or the maximum
of the difference between strike and lowest observed price and 0 (put option).
Pricing according to Conze and Viswanathan (1991) ("Path dependent
options: The Case of Lookback Options", Journal of Finance, 36, 1893 - 1907)
formulas.
All formulas are taken from Haug, Complete Guide to Option Pricing Formulas,
2nd edition, page 141ff.
Variables:
See also: option_binary, option_bs.
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