Hi Guys - I am trying to gather on existing work so far on pricing barrier option - europen stype type. Specifically i am interested in looking into those that has analytical solution (as it is the case for the european) using PDF method instead of numerical or some tree based approach. I am just starting out my reseach and compiling a list of decent articles on the subject i can find.I came across several books that discusses and introduces the subject but what i am looking for is academic papers that discusses the work on this area so far. I would appreciate any paper you could recommend to me, or internet site to download pdf's, etc.please also feel free to share this information with me on: amali@blueyonder.co.uk regards, Exotica!

I can sugest you 2 nice articles published in Risk Magazine.MaserClass with Deutsche BankUniversal barriers May 2002 Risk, A. Lipton, W. McGheeThe vol smile problem, February 2002 Risk, A. LiptonI think that FD-1d & 2d methods are a must for pricing Single/DBl Barriers for general case (continuous, discrete, window etc...)Hope it helps,

Thanks Val. I will go through the journal for that year. do u have any articles that in pdf on the web or on a journal that introduces pricing barriers and goes through the whole analytical solution. regards, Exotica!!!