With respect to barrier options, it is a method to calculate the time spent outside the barrier, whereby all the time, up to a specific point in time, the underlying spends below or above the barrier is added up and accumulated. The occupation time, in this sense, represents the aggregation of all excursion time intervals before the specific point in time. Cumulative Parisian options are based on occupation time.
This website uses cookies so that we can provide you with the best user experience possible. Cookie information is stored in your browser and performs functions such as recognising you when you return to our website and helping our team to understand which sections of the website you find most interesting and useful.
Comments