Tag Info

New answers tagged


You can use the reflection principle to solve this problem. First you calculate the probability that the Stock will be above the barrier at time T. i.e. $P(S_T > H) = blabla$ (which is easy to calculate since it is just normally distributed). Then via the reflection principle you know that the probability of crossing the barrier between time 0 and T is 2x ...

Top 50 recent answers are included