European-style floating lookback call option on stock index

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A new European-style floating lookback call option on a stock index has a maturity of 9 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 628 CHAPTER 26the approach in Section 26.5 to value the option and compare your answer to the result given by DerivaGem using the analytic valuation formula.

Reference no: EM13807948

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