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

Barrieu, P.ORCID logo, Rouault, A. & 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), 1049-1058. https://doi.org/10.1239/jap/1101840550
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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
Copyright holders 2007 © Applied Probability Trust
Departments LSE > Academic Departments > Statistics
DOI 10.1239/jap/1101840550
Date Deposited 30 Oct 2007
URI https://researchonline.lse.ac.uk/id/eprint/2831

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