Mathematics – Probability
Scientific paper
2010-11-22
Mathematics
Probability
Scientific paper
Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (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.
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