Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

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

Auteur(s):

Code(s) de Classification MSC:

Résumé: One of the approaches to the computation of the price of an Asian option involves the Hartman-Watson distribution. However, numerical problems for its density occur for small values. This motivated us to study asymptotically its distribution function.

Mots Clés: Asian options ; Hartman-Watson distribution ; large deviations

Date: 2003-04-25

Prépublication numéro: PMA-814

Front pages : PMA-814.dvi