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arXiv · 1011.4830

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

Stefan Gerhold
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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.

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Stefan Gerhold. 2010-11-22. The Hartman-Watson Distribution revisited: Asymptotics for Pricing Asian Options. https://arxiv.org/abs/1011.4830

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