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Lookback options with partial floating strike

Posted by igitur on Jul 28, 2014; 10:23am
URL: http://quantlib.414.s1.nabble.com/Lookback-options-with-partial-floating-strike-tp15662.html

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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