A spreadsheet that prices Asian, Lookback, Barrier and European options with fully viewable and editable VBA can be purchased here.
The Lookback option has a floating strike, and you can choose an arithmetic or geometric average for the Asian option. Given a European option, the expected present value of call (ct) and put (pt) options are calculated as follows, where X is the strike price.
The chart below compares the spread in volatility prices from options expiring from 1 to 52 weeks.
Then, the option value is calculated sequentially at every point in the tree, from the final point to the first point.
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