The Hartman-Watson Distribution revisited: Asymptotics for Pricing Asian Options
AbstractBarrieu, 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1011.4830.
Date of creation: Nov 2010
Date of revision: May 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-04 (All new papers)
- NEP-FMK-2010-12-04 (Financial Markets)
- NEP-SEA-2010-12-04 (South East Asia)
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