A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
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Publication:4660529
DOI10.1239/jap/1101840550zbMath1064.60021MaRDI QIDQ4660529
Marc Yor, Alain Rouault, Pauline Barrieu
Publication date: 4 April 2005
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1101840550
62E20: Asymptotic distribution theory in statistics
60E05: Probability distributions: general theory
60J65: Brownian motion
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