 Reflected European payoff for an up-and-in option

For an up-and-in claim in the dividend-free Black-Scholes model, set $\nu =(\rho -{\sigma }^2/2)/\sigma$, $\kappa =(S_0/b{)}^2$ and assume finite absolute payoff expectations. Its initial price equals the risk-neutral pricing value of the displayed European option. To prove this, express the log-price as $\sigma (W_t+\nu t)$ and apply the joint endpoint and maximum law for drifted Brownian motion. Above the logarithmic barrier $a=\log (b/S_0)/\sigma$, use the unrestricted endpoint density. Below it, the density of paths which hit the barrier is $e^{2a\nu }{\varphi }_T(y-2a-\nu T)$. Substitution $z=y-2a$ gives the scaled payoff, the threshold $\kappa b$, and the factor ${\kappa }^{-\nu /\sigma }$. This is an initial-price identity, not a pathwise equality of terminal payoffs.