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Medium · Options & Greeks · Quant Trader interview question · options, lookback-option, vanilla-option, monotonicity, exotic-options
Consider a floating-strike lookback call option with payoff at maturity $T$ given by $S_T - \min_{t \in 0,T} S_t$, where $S_t$ is the price of the underlying asset at time $t$. Also, consider a standard at-the-money (ATM) vanilla call option on the same underlying asset, with the same maturity $T$ and strike price equal to the initial spot price $S_0$. Assuming no dividends, interest rates, or transaction costs, and standard market assumptions (no arbitrage), is the floating-strike lookback cal