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

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  • Stefan Gerhold

Abstract

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.

Suggested Citation

  • Stefan Gerhold, 2010. "The Hartman-Watson Distribution revisited: Asymptotics for Pricing Asian Options," Papers 1011.4830, arXiv.org, revised May 2011.
    • Handle: RePEc:arx:papers:1011.4830
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    Cited by:

    1. Bruno Buonaguidi, 2023. "Finite Horizon Sequential Detection with Exponential Penalty for the Delay," Journal of Optimization Theory and Applications, Springer, vol. 198(1), pages 224-238, July.
    2. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    3. Dan Pirjol, 2020. "Asymptotic expansion for the Hartman-Watson distribution," Papers 2001.09579, arXiv.org, revised Dec 2024.
    4. Runhuan Feng & Hans W. Volkmer, 2015. "Conditional Asian Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1-24.
    5. Dan Pirjol, 2021. "Small-t Expansion for the Hartman-Watson Distribution," Methodology and Computing in Applied Probability, Springer, vol. 23(4), pages 1537-1549, December.
    6. Runhuan Feng & Hans W. Volkmer, 2015. "Conditional Asian Options," Papers 1505.06946, arXiv.org.

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