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Fundamental Concepts Read chapter Read first chapter

2016 | OriginalPaper | Chapter

9. The Reflection Principle of Brownian Motion

Author : Geon Ho Choe

Published in: Stochastic Analysis for Finance with Simulations

Publisher: Springer International Publishing

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Abstract

We investigate the reflection properties of Brownian motion. The results in this chapter will be used for the pricing of barrier options in Sect. 18.​2 For the sake of simplicity of exposition we consider only one barrier problems.

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previous chapter Girsanov’s Theorem
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Metadata
Title
The Reflection Principle of Brownian Motion
Author
Geon Ho Choe
Copyright Year
2016
Book
Stochastic Analysis for Finance with Simulations

Print ISBN: 978-3-319-25587-3

Electronic ISBN: 978-3-319-25589-7

Copyright Year: 2016

DOI
https://doi.org/10.1007/978-3-319-25589-7_9

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