[Quantlib-users] modified barrier option

[Philippe H. <phi...@ex...>]

I am trying to price an up and out American single barrier rebate call
option with the caveat that in order to be triggered, the stock price would
need to continuously exceed the barrier for more than say 4 weeks in a row.
I am using the existing ql.BarrierOption(), but this is based on the first
touch of the barrier for both the knocking out of the option as well
as triggering
the payment of the rebate.
To keep it simple, I used the ql.BlackScholesMertonProcess(), and
ql.BinomialBarrierEngine(), with the 'crr' method, but that's not a
requirement.

So my questions are as follows:
1. Is there an existing engine that can handle my request, and is there a
barrier option model that can utilize it?
2. If not, how complex would it be to modify the 'crr' (or whichever would
be more appropriate) engine/method at the C++ level to handle my request?

Regards


Philippe Hatstadt

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