Lookback Option


Lookback Option is a direct subtype of Exotic Option
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with functions Lookback Option Functions, keys Lookback Option keys and example object LkbackOpt

TYPE INCLUSION RELATIONSHIPS

Exotic Option

Lookback Option

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Lookback End

Lookback Start

Lookback Type

Strike Weight

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TYPICAL OBJECTS OF TYPE Lookback Option

LkbackOpt

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This type represents an Option contract, where either the final underlying price or the strike in the payoff formula is replaced with either the minimum or maximum of the underlying prices realised in a certain time interval before expiry.

The following features are currently not supported by QuantLib:
American and Bermudan exercise style, barriers, discrete dividends/storage costs.

The various types of lookback options are described in Lookback Type

The pricing methodology is specified in Model[Lookback Option]