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

DOI10.1239/jap/1316796924zbMath1279.62041arXiv1011.4830OpenAlexW2110551465MaRDI QIDQ3094703

Stefan Gerhold

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

zbMATH Keywords

saddle point methodAsian optionHartman-Watson distribution

Mathematics Subject Classification ID

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

• NetNUMPAC

Cites Work

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• A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
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• EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL

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