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

Part of: Markov processes Distribution theory

Published online by Cambridge University Press:  14 July 2016

Stefan Gerhold
Stefan Gerhold*
Affiliation:
Vienna University of Technology
*
∗ Postal address: Vienna University of Technology, Wiedner Hauptstrasse 8-10, A-1040 Vienna, Austria. Email address: sgerhold@fam.tuwien.ac.at
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Abstract

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Barrieu, Rouault and Yor (2004) determined asymptotics for the logarithm of the distribution function of the Hartman-Watson distribution. We determine the asymptotics of the density. This refinement can be applied to the pricing of Asian options in the Black-Scholes model.

Keywords

Hartman-Watson distributionAsian optionsaddle point method

MSC classification

Secondary: 62E20: Asymptotic distribution theory 60J65: Brownian motion

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 48 , Issue 3 , September 2011 , pp. 892 - 899
Copyright
Copyright © Applied Probability Trust 2011 

References

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