Quasi Barrier Options

Quasi barrier options are used to model how stock and option prices react to announced price floors and ceilings. There is surprisingly little literature about this, so I decided to take matters into my own hands and try to develop the options pricing formulas myself.

Progress thus far

https://en.wikipedia.org/wiki/User:Quasibarrier/sandbox#Problem_Setup

Dealing with the put call parity violation is tricky. For a lower barrier, this can be handled by introducing ‘drift’ to make long term puts worthless, but is a lower barrier the same as risk-free drift? The put call parity for an upper barrier an be handled by introducing a hard to borrow fee.

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