Derivatives
Lattice
October 18, 2022
Derivatives
Lookback Step-Up Cap
October 18, 2022

A call or put option whereby the holder has the retroactive right to purchase (if a call) or sell (if a put) the underlying asset at the lowest level (if a call) or the highest level (if a put) it achieves within a specified period known as the lookback period.

It is also called a floating strike lookback option, a best strike option, a dint, or simply a lookback option.

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