American Barrier Option

rakeshkashyap · March 22nd, 2006, 9:29 am

HI, Is there any Closed form Solution available for Pricing American Barrier Option ?? I have seen "Knock-in American Options" by Min Dai & Yue kuen Kwok, And "Closed form Valuation of American Barrier Option" by Haug.But in these papers pricing of Up-In Call and Down-In Put is missing. Rakesh

upadrasta · March 24th, 2006, 4:36 pm

frnd up and in + up and out = vanilla

sunya · March 24th, 2006, 10:22 pm

This is wrong for american options.

woodsdevil · March 27th, 2006, 9:17 am

What model do you want to price these in ?You have analytical formula in the Black-Scholes assuming constant short rate and localv olatility (i.e. no term-structrue of parameter) that you can work out by static hedging (or using the reflection principle for Brownian motions).