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THE HARTMAN-WATSON DISTRIBUTION REVISITED

by

STEFAN GERHOLD

Abstract.

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 re-finement can be applied to the pricing of Asian options in the Black-Scholes model.

http://arxiv.org/PS_cache/arxiv/pdf/1011/1011.4830v1.pdf




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