A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options

DOI10.1239/jap/1101840550zbMath1064.60021OpenAlexW1992382391MaRDI QIDQ4660529

Marc Yor, Alain Rouault, Pauline Barrieu

Publication date: 4 April 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1101840550

Mathematics Subject Classification ID

Related Items (18)

The \(\alpha\)-hypergeometric stochastic volatility model ⋮ Geometric Brownian motion with affine drift and its time-integral ⋮ On hyperbolic Bessel processes and beyond ⋮ Mass at zero in the uncorrelated SABR model and implied volatility asymptotics ⋮ Prices and sensitivities of Asian options: A survey ⋮ On the distribution of the time-integral of the geometric Brownian motion ⋮ A DIRECT SOLUTION TO THE FOKKER–PLANCK EQUATION FOR EXPONENTIAL BROWNIAN FUNCTIONALS ⋮ The log-normal approximation in financial and other computations ⋮ Another look at the Hartman-Watson distributions ⋮ K-Hartman-Watson distributions: a study on distributional dependencies between functionals of geometric Brownian motion, GIG and Hartman-Watson distributions ⋮ Unnamed Item ⋮ On constructive complex analysis in finance: Explicit formulas for Asian options ⋮ THE DOTHAN PRICING MODEL REVISITED ⋮ The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options ⋮ Small-\(t\) expansion for the Hartman-Watson distribution ⋮ Revisiting linear and lognormal stochastic volatility models ⋮ On the Yor integral and a system of polynomials related to the Kontorovich–Lebedev transform ⋮ Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion

Cites Work

• 'Normal' distribution functions on spheres and the modified Bessel functions
• Limit theorems for Mandelbrot's multiplicative cascades.
• The integral of geometric Brownian motion
• The Mardia–Dryden shape distribution for triangles: a stochastic calculus approach
• Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
• On some exponential functionals of Brownian motion
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• On the integral of geometric Brownian motion
• On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts
• The log-normal approximation in financial and other computations
• The value of an Asian option
• Semi-stable Markov processes. I
• Spectral Expansions for Asian (Average Price) Options
• Exponential functionals of Brownian motion and related processes
• A note on the distribution of integrals of geometric Brownian motion
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options