Input interpretation
lookback option
Input values
option name | European lookback with fixed strike option type | call strike price | $50 (US dollars) time to expiration | 3 months underlying price | $49 (US dollars) volatility | 20% dividend yield | 1% risk-free interest rate | 0.12% maximum price so far | $50 (US dollars) minimum price so far | $48 (US dollars)
Payout profile at expiration
Payout profile at expiration
Computed option value and greeks
value | delta | gamma | vega | theta | rho $3.06 | 0.906 | 0.173 | 20.320 | -7.924 | 5.525
Option ladder
strike price | call rho | put rho $40 | 3.032 | -0.428 $45 | 4.279 | -3.543 $50 | 5.525 | -6.699 $55 | 2.405 | -7.945 $60 | 0.477 | -9.191
Plots as a function of risk-free interest rate
Plots as a function of risk-free interest rate