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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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Identification Number: 10.1239/jap/1101840550

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: 24 Jan 2024 00:30
URI: http://eprints.lse.ac.uk/id/eprint/2831

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