  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.
