A new European-style lookback call option on a stock index has a maturity of nine months. The
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A new European-style lookback call option on a stock index has a maturity of nine months. The current level of the index is 400, the risk-free rate is 6% per annum, the dividend yield on the index is 4% per annum, and the volatility of the index is 20%. Use the approach in Section 20.6 to value the option and compare your answer to the result given by DerivaGem using the analytic valuation formula.
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