A Parisian option is a crossover between a barrier option and an Asian option. However, the payoff of a Parisian option doesn’t only depend on the final price of the underlying, but also on its price trajectory during the whole life span of the option. More specifically, this option will be either activated or terminated upon the underlying trading through a preset barrier level and staying above or below the barrier for a specified period of time before its maturity date.
July 18, 2023