The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options
From MaRDI portal
Publication:3094703
DOI10.1239/jap/1316796924zbMath1279.62041arXiv1011.4830MaRDI 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
62E20: Asymptotic distribution theory in statistics
60J65: Brownian motion
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics, Computer-Assisted Proofs of Some Identities for Bessel Functions of Fractional Order
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull-White model
- Exponential functionals of Brownian motion. I: Probability laws at fixed time
- 'Normal' distribution functions on spheres and the modified Bessel functions
- Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for large arguments
- Asymptotics of the distribution of the integral of the absolute value of the Brownian bridge for large arguments
- Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion
- ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I
- Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
- On some exponential functionals of Brownian motion
- A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
- The log-normal approximation in financial and other computations
- EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL
