Hello @ All,I am currently trying to value products which depend on days. This means I have a note which is linked to an index for example and at the end pays a certain redemption amount. This redemption amount is of course dependent on the notional and a days-factor. I therefore have to count the days when the actual index was above a certain barrier and divide it by the total days available in the period. My first thought of pricing was to perform a monte carlo simulation of the underyling index and after that, write an algorithm to count the days and therefore calculate the factor. Is this the "right" way to do it or does there exist a closed form solution for this? Thank you for every little hint. Kind RegardsMonchichi

I think you're right. As I understood, you have an asian option and you need a montecarlo with the right model for that.CiaoFabio

Hi Fabio,thank you very much for your answer. Have you any idea what kind of monte carlo simulation I should run? My idea is to just use a Geometric Brownian Motion for the index and then simulate the index accordingly. After that I could write an algorithm for the days. Kind RegardsM

Or does anybody know how to call these instruments so I can search for some papers on this matter? Thank you!

No one? Is that matter really so hard? No wonder I don't know how to do these Any hint?

Finally someone with a hint. Thank you very very much for this outrun. I will look it up but I think it's the right one. There's not much literature for this. But maybe in some books. Thanks again!

"Range note" or "range accrual note". You can do it with monte carlo or with PDE's. There are plenty of articles lying about on this.

or by summing up a series of binary options...