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The Hartman-Watson Distribution revisited: Asymptotics for Pricing Asian Options
The Hartman-Watson Pricing Asian Options
2010/11/22
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 de...