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

  • Stefan Gerhold (a1)
Abstract

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.

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Copyright
Corresponding author
Postal address: Vienna University of Technology, Wiedner Hauptstrasse 8-10, A-1040 Vienna, Austria. Email address: sgerhold@fam.tuwien.ac.at
References
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  • ISSN: 0021-9002
  • EISSN: 1475-6072
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