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


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):

P. BARRIEU
A. ROUAULT

M. YOR

Code(s) de Classification MSC:

60J65 Brownian motion [See also 58J65]
60E99 None of the above, but in this section
91B28 Finance, portfolios, investment
62E20 Asymptotic distribution theory
65C50 Other computational problems in probability

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