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

Stefan Gerhold

Papers from arXiv.org

Abstract: Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (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.

Date: 2010-11, Revised 2011-05
New Economics Papers: this item is included in nep-fmk and nep-sea
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Citations: View citations in EconPapers (6)

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