<r>Did the American plain vanilla put-call transformation in Espen Haug's paper help at all?<URL url="http://home.online.no/~espehaug/BarrierTransformations.pdf"><LINK_TEXT text="http://home.online.no/~espehaug/Barrier ... ations.pdf">http://home.online.no/~espehaug/BarrierTransformations.pdf</LINK_...

Spot is 100. I buy an option that pays $1.00 if 95 is touched at any time, before 110 is touched.If 110 is touched first, then my option expires worthless. If 95 is touched first, I get paid $1.00 right away and don't have to worry about the 110 barrier.

How do you price a "bet" option that pays out if a knock-in is hit before out the knock-out.If the knock-out is hit first then the option is cancelled.