Hi,Where can I find data on barrier options? I need data on barrier options and vanilla options where both have the same underlying. Would I find what I'm looking for in Bloomberg? Perhaps some older research where this kind of data has been used?

In general, barrier options data is hard to get (if you don't work for a market-making investment bank) as the market is OTC. You could try Bloomberg but when I looked a couple of years ago, I found nothing of much interest (Bloomberg might be better now). I know of only one paper which has simultaneous barrier options (Double-No-Touch), vanilla options, spot and yield-curve data in it. It is a paper by Peter Carr and John Crosby related to barrier options on fx. However, even this paper, only has limited data on USD/STG so it is pretty sparse if you're plannng some of sort of historical analysis.The Carr and Crosby paper is published in Quantitative Finance Vol 10 Issue 10 (2010) p1115 ? 1136See also their websites:http://math.nyu.edu/research/carrp/rese ... sby.co.uk/