Another look at the Hartman-Watson distributions

DOI10.1007/S11118-019-09806-7MaRDI QIDQ2006374zbMATH OpenOpenAlexFDO

Authors Jacek Jakubowski, Maciej Wiśniewolski

Publication date 8 October 2020

Published in Potential Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11118-019-09806-7

zbMATH Keywords

PDEmodified Bessel functionsAsian optionsexcursions of Brownian motionHartman-Watson distributionsadditive functional of Brownian motionLévy measure

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Sample path properties (60G17) Financial applications of other theories (91G80)

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Cited in

(7)

• Jumping hedges on the strength of the Mellin transform
• Integral representations for the Hartman-Watson density
• Hartman-Watson distribution and hyperbolic-like heat kernels
• Small-\(t\) expansion for the Hartman-Watson distribution
• 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
• scientific article; zbMATH DE number 7544430 (Why is no real title available?)

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