Partial Barrier Options

By R. Heynen, H. M. Kat. 2000

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Pricing equity-indexed annuities with path-dependent options (2003, background): “Barrier options have been considered byReiner and Rubinstein (1991), Heynen and Kat (1994b), Nelken (1996), Lin (1998), El Babsiri and Noel (1998), Zhang (1998)andKwok (1998).”
Are structured products ‘fairly’ priced? An analysis of the German market for equity-linked instruments (2005, methodology): “Partial-time barrier options are valued by the formulas provided by Heynen and Kat (1994). In the case of implied European rainbow options on the minimum of two assets, we employ the valuation model of Stulz (1982).”
ON PRICING OF DISCRETE BARRIER OPTIONS (2003, background): “…barrier is reached at any instant before the expiration date, mainly because this leads to analytical solutions; see, for example, Merton (1973), Heynen and Kat (1994a, 1994b) and Kunitomo and Ikeda (1992) for various formulae for continuously monitored barrier options under the classical…”