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
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 |
| Date Deposited: | 30 Oct 2007 |
| URL: | http://eprints.lse.ac.uk/2831/ |
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