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

Barrieu, Pauline, 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
Library of Congress subject classification: H Social Sciences > HG Finance
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 30 Oct 2007
URL: http://eprints.lse.ac.uk/2831/

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