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A study of the Hartmann-Watson distribution motivated by numerical problems related to the pricing of Asian options

By Pauline Barrieu, A. Rouault and M. Yor

Abstract

One approach to the computation of the price of an Asian option involves the Hartman-Watson distribution. However, numerical problems for its density occur for small values. This motivates the asymptotic study of its distribution function

Topics: HG Finance
Publisher: Project Euclid
Year: 2004
DOI identifier: 10.1239/jap
OAI identifier: oai:eprints.lse.ac.uk:2831
Provided by: LSE Research Online
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