Another look at the Hartman-Watson distributions

DOI10.1007/s11118-019-09806-7zbMath1454.60125OpenAlexW2982979612MaRDI QIDQ2006374

Maciej Wiśniewolski, Jacek Jakubowski

Publication date: 8 October 2020

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11118-019-09806-7

zbMATH Keywords

PDEmodified Bessel functionsexcursions of Brownian motionLévy measureAsian optionsHartman-Watson distributionsadditive functional of Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Sample path properties (60G17) Financial applications of other theories (91G80)

Related Items

Jumping hedges on the strength of the Mellin transform ⋮ Unnamed Item ⋮ Hartman-Watson distribution and hyperbolic-like heat kernels ⋮ Revisiting linear and lognormal stochastic volatility models ⋮ Integral representations for the Hartman-Watson density

Uses Software

• DLMF

Cites Work

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