The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options
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Publication:3094703
DOI10.1239/jap/1316796924zbMath1279.62041arXiv1011.4830OpenAlexW2110551465MaRDI QIDQ3094703
Publication date: 25 October 2011
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1011.4830
Asymptotic distribution theory in statistics (62E20) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (8)
Finite horizon sequential detection with exponential penalty for the delay ⋮ Mass at zero in the uncorrelated SABR model and implied volatility asymptotics ⋮ On the distribution of the time-integral of the geometric Brownian motion ⋮ Another look at the Hartman-Watson distributions ⋮ Unnamed Item ⋮ Small-\(t\) expansion for the Hartman-Watson distribution ⋮ Revisiting linear and lognormal stochastic volatility models ⋮ Computer-Assisted Proofs of Some Identities for Bessel Functions of Fractional Order
Uses Software
Cites Work
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