
Explanation:
A Parisian option is a type of barrier option where the barrier condition (knock-in or knock-out) is only triggered if the price of the underlying asset remains above or below the barrier price for a continuously specified number of days (the "excursion period").
Standard barrier options (like standard down-and-out or up-and-out options) are triggered the immediate moment the barrier is breached, even if it happens intraday. Because the question specifies that the call option will cease to exist only if the price falls below the barrier for a specific number of days, it describes a Parisian option.
Ultimate access to all questions.
No comments yet.
Q.24 In which of the following barrier options will a regular call option cease to exist if the underlying asset's price falls below a specific barrier price for a specific number of days?
A
Down-and-out call option.
B
Up-and-out call option.
C
Parisian call option.
D
Down-and-in call option.