ANSWER:

This is absolutely prohibited. 

You must immediately discontinue this and sincerely repent to Allah. 

There’s no obedience to anyone at the cost of disobedience to Allah. However you must be diplomatic and respectful towards your parents in all situations but keep firm on your decision and not continue this class at all.

Dear ,sheikh, I have been put in a predicament of sorts, the subject is musical instruments, specifically the piano.Since an early age, my parents put me in a music class (one to one), and since then up until now,I have been studying the piano. Knowing it is haram I brought the case to my parents and they concluded I resume until I finish my current grade as they have paid for it, is this ok?