Subject: Fixed strike lookback option
From: [email-masked]
To: [email-masked], [email-masked], [email-masked], [email-masked]
Cc: [email-masked]
Date: Wed, 26 Sep 2001 08:57:26 -0700 (PDT)

John & Santiago,

Per our conversation, the lookback option you need is a fixed strike option. 
For put it pays    

   max(K-min(S),0)

The model in option library is for floating strike, for put it pays 
max(max(S)-S(T),0).  

So please hold on the number.  Paulo will work on a correct model and
hopefully give you the answer tomorrow.

Zimin