For the lookback put:
a. What is the value of a lookback put if St = 0? Verify that the formula gives you the same answer.
b. Verify that at maturity the value of the put is ST ˆ’ ST.
A European lookback call at maturity pays ST ˆ’ ST. A European lookback put at maturity pays ST ˆ’ ST. (Recall that ST and ST are the maximum and minimum prices over the life of the option.) Here is a formula that can be used to value both options:

Where

The value of a lookback call is obtained by setting St = St and ω = 1. The value of a lookback put is obtained by setting ËœSt = St and ω = ˆ’1.

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