The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options-Reference-Cited by-同舟云学术

The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options

Published:2011-09 Issue:3 Volume:48 Page:892-899
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Gerhold Stefan

Abstract

Barrieu, Rouault and Yor (2004) determined asymptotics for the logarithm of the distribution function of the Hartman-Watson distribution. We determine the asymptotics of the density. This refinement can be applied to the pricing of Asian options in the Black-Scholes model.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

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