Parisian
Posted: October 5th, 2007, 6:28 pm
by RedSniper
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?
Parisian
Posted: October 8th, 2007, 2:39 pm
by tontonkum
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.