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


  • Stefan Gerhold


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. "The Hartman-Watson Distribution revisited: Asymptotics for Pricing Asian Options," Papers 1011.4830,, revised May 2011.
  • Handle: RePEc:arx:papers:1011.4830

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    1. Domenico Delli Gatti & Mauro Gallegati & Bruce Greenwald & Alberto Russo & Joseph Stiglitz, 2009. "Business fluctuations and bankruptcy avalanches in an evolving network economy," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 4(2), pages 195-212, November.
    2. Raja Kali & Javier Reyes, 2010. "Financial Contagion On The International Trade Network," Economic Inquiry, Western Economic Association International, vol. 48(4), pages 1072-1101, October.
    3. Kaminsky, Graciela L. & Reinhart, Carmen M., 2000. "On crises, contagion, and confusion," Journal of International Economics, Elsevier, vol. 51(1), pages 145-168, June.
    4. C. A. Hidalgo & B. Klinger & A. -L. Barabasi & R. Hausmann, 2007. "The Product Space Conditions the Development of Nations," Papers 0708.2090,
    5. Raja Kali & Javier Reyes, 2007. "The architecture of globalization: a network approach to international economic integration," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 38(4), pages 595-620, July.
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    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082,, revised Nov 2017.
    2. Runhuan Feng & Hans W. Volkmer, 2015. "Conditional Asian Options," Papers 1505.06946,

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