The Hartman-Watson Distribution revisited: Asymptotics for Pricing Asian Options
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.
Year of publication: |
2010-11
|
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Authors: | Gerhold, Stefan |
Institutions: | arXiv.org |
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