FA-61698 / Options payoff and settlement / Member archive

Lookback option payoff: the fixed-strike put uses the path maximum · case 03

Fixed-strike puts rarely pay.

Member previewVariant 3 · 3 implementations · 8 checks per implementation

Case contract

Inputs kind, the observed path including initial and final prices, and strike. float-call pays final - min(path); float-put pays max(path) - final; fixed-call pays max(max(path) - K, 0); fixed-put pays max(K - min(path), 0). Round to 6.

Why this case matters

Option expiry, exercise and settlement engines move cash and shares; a wrong branch misstates obligations.

One recorded failure

Sample boundary fixture

This sample comes from the broken implementation of a controlled reproducer.

Boundary fixture	Actual	Expected	Outcome
regression fixed put extreme 1	`0`	`5.0`	Failed

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