Fixed Lookback Strike Terms
From Open Risk Manual
Definition
Fixed Lookback Strike Terms. Strike terms which reflect the difference between a running maximum value of the observable during the lookback period, and the pre-agreed strike. The agreed settlement is based on the difference between these. Further Notes This is only settled in cash and the strike is predetermined at payoff and the payoff is the max diff between the optimal price and the strike price.
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Facts about "Fixed Lookback Strike Terms"
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