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Lookback options with partial floating strike

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igitur

Lookback options with partial floating strike

Hi,

I have to replicate the Murex valuation for our options. We have some regular European puts and calls, but also lookback options and I'm diving straight into the lookback options. The payoffs are European exercise with a partial floating strike, at certain observation dates.

For now I'll approximate the lookback option as a continuous lookback. The partial floating strike is defined as for example: 80% x MAX(observations over lookback period). Does the Quantlib lookback option classes support a parameter for the 80%? If not, how can I emulate it?

Also, if anyone knows the exact assumptions behind the Murex lookback options valuation (Peter?), please let me know.

thanks

Francois Botha

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igitur

Re: Lookback options with partial floating strike

I submitted my implementation of partial fixed and floating lookbacks here: https://github.com/lballabio/quantlib/pull/125

But, please, if anybody has some insight in the Murex methodology, I'd love to know.

Francois Botha

On 28 July 2014 12:23, Francois Botha <[hidden email]> wrote:

Hi,

I have to replicate the Murex valuation for our options. We have some regular European puts and calls, but also lookback options and I'm diving straight into the lookback options. The payoffs are European exercise with a partial floating strike, at certain observation dates.

For now I'll approximate the lookback option as a continuous lookback. The partial floating strike is defined as for example: 80% x MAX(observations over lookback period). Does the Quantlib lookback option classes support a parameter for the 80%? If not, how can I emulate it?

Also, if anyone knows the exact assumptions behind the Murex lookback options valuation (Peter?), please let me know.

thanks

Francois Botha