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arxiv: 1011.4830 · v2 · pith:QV3OTVV5new · submitted 2010-11-22 · 🧮 math.PR · q-fin.PR

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

classification 🧮 math.PR q-fin.PR
keywords asymptoticsdistributionasianhartman-watsonoptionspricingapplapplied
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Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (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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