The study of quantum thermodynamics is key to the development of quantum thermal machines. In contrast to most of the previous proposals based on discrete strokes, here we consider a working substance that is permanently coupled to two or more baths at different temperatures and continuously driven. To this end, we investigate parametrically driven quantum harmonic oscillators coupled to heat baths via a collision model. Using a thermodynamically consistent local master equation, we derive the heat flows and power of the working device, which can operate as an engine, refrigerator, or accelerator, and analyze the instantaneous and average efficiencies and coefficients of performance. Studying the regimes of both slow and fast driving of the system, we find that an increased driving frequency can lead to a change of functioning to a dissipator. Finally, we investigate the effect of squeezing one of the thermal baths: it leads to an apparent higher efficiency compared to the corresponding Carnot value of an equilibrium bath with the same temperature and to sustained entanglement between the working substance oscillators in the limit cycle.