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.
Citation
Stefan Gerhold. "The Hartman-Watson distribution revisited: asymptotics for pricing Asian options." J. Appl. Probab. 48 (3) 892 - 899, September 2011. https://doi.org/10.1239/jap/1316796924
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