A study of the Hartmann-Watson distribution motivated by numerical problems related to the pricing of Asian options

Barrieu, Pauline ORCID: 0000-0001-9473-263X, Rouault, A. and Yor, M. (2004) A study of the Hartmann-Watson distribution motivated by numerical problems related to the pricing of Asian options. Journal of Applied Probability, 41 (4). pp. 1049-1058. ISSN 0021-9002

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Abstract

One approach to the computation of the price of an Asian option involves the Hartman-Watson distribution. However, numerical problems for its density occur for small values. This motivates the asymptotic study of its distribution function.

Item Type:	Article
Official URL:	http://projecteuclid.org/DPubS?service=UI&version=...
Additional Information:	2007 © Applied Probability Trust
Divisions:	Statistics
Subjects:	H Social Sciences > HG Finance
Date Deposited:	30 Oct 2007
Last Modified:	01 Oct 2024 03:32
URI:	http://eprints.lse.ac.uk/id/eprint/2831

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