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RedSniper
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Joined: May 29th, 2003, 10:51 am

Parisian

October 5th, 2007, 6:28 pm

Hi there,Are you aware of closed form formulas for (down and out) Parisan barrier options, with a barrier level that is a known exponential function of time?
 
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tontonkum
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Joined: July 26th, 2007, 12:08 pm

Parisian

October 8th, 2007, 2:39 pm

I guess you're talking about the BS model.In that case, your problem is equivalent to this of changing the drift of your process and taking a time-independent barrier.I think you can google some infos about that.