Another look at the Hartman-Watson distributions
DOI10.1007/S11118-019-09806-7zbMATH Open1454.60125OpenAlexW2982979612MaRDI QIDQ2006374FDOQ2006374
Authors: Jacek Jakubowski, Maciej Wiśniewolski 
Publication date: 8 October 2020
Published in: Potential Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11118-019-09806-7
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PDEmodified Bessel functionsAsian optionsexcursions of Brownian motionHartman-Watson distributionsadditive functional of Brownian motionLévy measure
Diffusion processes (60J60) Brownian motion (60J65) Sample path properties (60G17) Financial applications of other theories (91G80)
Cites Work
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- On Linear Volterra Integral Equations of Convolution Type
- The Hartman-Watson distribution revisited: asymptotics for pricing Asian options
Cited In (7)
- Integral representations for the Hartman-Watson density
- Revisiting linear and lognormal stochastic volatility models
- K-Hartman-Watson distributions: a study on distributional dependencies between functionals of geometric Brownian motion, GIG and Hartman-Watson distributions
- Title not available (Why is that?)
- Jumping hedges on the strength of the Mellin transform
- Small-\(t\) expansion for the Hartman-Watson distribution
- Hartman-Watson distribution and hyperbolic-like heat kernels
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