In this article we study the convergence of a European lookback option with floating strike  to its evaluation with the Black-Scholes model. We confirm that this convergence is of order 1/ \sqrt{n . For this, we use the binomial model of Cheuk-Vorst which allows us to write the price of the option using a double sum. Based on an improvement of a lemma of Lin-Palmer, we are able to give the precise value of the term in 1/ \sqrt{n in the expansion of the error; we also obtain the value of the term in 1/n if the risk free interest rate is non zero  .
In this article we study the convergence of a European lookback option with floating strike evaluated with the binomial model of Cox-Ross-Rubinstein to its evaluation with the Black-Scholes model. We do the same for its delta. We confirm that these convergences are of order 1/ Sqrt(n) . For this, we use the binomial model of Cheuk-Vorst which allows us to write the price of the option using a double sum. Based on an improvement of a lemma of Lin-Palmer, we are able to give the precise value of the term in 1/ Sqrt(n) in the expansion of the error; we also obtain the value of the term in 1/n if the risk free interest rate is non zero . This modelisation will also allow us to determine the first term in the expansion of the delta .
A
evaluated with the binomial model of Cox-Ross-Rubinstein
R
confirm that this convergence is
do the same for its delta. We confirm that these convergences are
R
\sqrt{n
Sqrt(n)
R
\sqrt{n
Sqrt(n)
A
. This modelisation will also allow us to determine the first term in the expansion of the delta