A new European-style floating lookback call option on a
Question and Solution
A new European-style floating lookback call option on a stock index has a maturity of 9 months. The current level of the
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A new European-style floating lookback call option on a stock index has a maturity of 9 months. The current level of the index is 400, the risk-free rate is 6% per annum, the dividend yield on the index is 4% per annum, and the volatility of the index is 20%. Use DerivaGem to value the option.
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