HiI am reading the paper by Rubinstein and Reiner for Barrier options for the moment but think that some things are a bit unclear.Where can I find derivation and meaning of the four equations below?All of the books and articles I have read fail to shed light on it.X1 = [log(S/H) / sigma * sqrt(T)] + lambda * sigma * sqrt(T)Y = [log(H^2/SK) / sigma * sqrt(T)] + lambda * sigma * sqrt(T)Y1 = [log(H/S) / sigma * sqrt(T)] + lambda * sigma * sqrt(T)Lambda = 1 + (miu/sigma^2)RegardsLinkaren1

Try Don Rich, "The Mathematical Foundations of Barrier Option Pricing"Advances in Futures and Options Research, Volume 7, pages 267-311,1994, ISBN 1-55938-748-3. Sorry, I do not have a file copy, perhapssomeone else does.

Joshi's book has a detailed derivation of the barrier option formula.

forget that - the best article to read is barrier put-call transformations by haug (our very own collector back when he was in short trousers!)

QuoteOriginally posted by: spursfanforget that - the best article to read is barrier put-call transformations by haug (our very own collector back when he was in short trousers!)Was he a rugby player in those days? No offence meant

Thanks a lot for your suggestions.I imagine that the nonexisting and probably very expensive article (Like some of the other ground breaking articles) and MJ's book are both very useful but for the moment I am on a budget.I found a very nice presentation by Peter Carr on the put-call symmetry that helped me on the way.Cuchulainn,I don't know if he is a rugby player but he is from Norway. That should explain it. In Sweden we all think they are a little bit mad....

Ok, so I found something in PWoQF as well.It looks a lot more userfriendly but there is still an expression Ineed to have explained.What is the derivation and meaning of (page 250)a = [Sb/S]^-1+2((r-q)/sigma^2)andb = [Sb/S]^1+2((r-q)/sigma^2)?

QuoteOriginally posted by: Lincaren1I don't know if he is a rugby player but he is from Norway. That should explain it. In Sweden we all think they are a little bit mad....:-)I asked the question because I could not resist the cue because someone is an English rugby fan, So maybe these strong Morwegian types could help the English team in a bad patch. They will need it in a week's time when they go to Dublin. Lincaren?Are you Swedish? The Norwegians are the very best cross-country skiers!I'm on my coffee break, it's Friday, so time to be silly and I wish S******n good luck next week. May the best team win.

The thing is, I cannot think of any team sport they are good at. Certainly not football or ice hockey...Which is quite funny given their nationalistic spirit. This month (or last) was the 100th anniversary of their independence (from us I am afraid, very bad choice to let them go)...They are busy, not striking goals but oil......I don't have a clue about Rugby I am afraid.I am indeed a Swedish guy living in in London. See you next RW?

QuoteOriginally posted by: Lincaren1The thing is, I cannot think of any team sport they are good at. Certainly not football or ice hockey...Which is quite funny given their nationalistic spirit. This month (or last) was the 100th anniversary of their independence (from us I am afraid, very bad choice to let them go)...They are busy, not striking goals but oil......I don't have a clue about Rugby I am afraid.I am indeed a Swedish guy living in in London. See you next RW?For sure, 17 March in Counting House. Dominic, what about it? I live near Amsterdam but am that week in London.CheersWhat about an Off-line on Rugby?

> (our very own collector back when he was in short trousers!)I am visiting london this weekend, warmer than NY, but too cold for shorts even for a Norwegian, and unfortunately not many mini skirts to see either this time of the year.

QuoteOriginally posted by: Collector> (our very own collector back when he was in short trousers!)I am visiting london this weekend, warmer than NY, but too cold for shorts even for a Norwegian, and unfortunately not many mini skirts to see either this time of the year.CollectorOne of the questions is, I'm sure Norwegians would be great rubgy players (I see many good skiers in Gala and Geilo)P.S. I was in Istanbul last week, it was about 12 Celsius, no hot pants to be seen anywhere

Quoteand unfortunately not many mini skirts to see either this time of the year.So I assume you avoided Soho then. At least Essex girls are normally immune to all kind of weather.