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

By Pauline Barrieu, Alain Rouault, Marc Yor. 2004

50 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/02546ed44d13f737a517b72aa9a8ee180e8ea2d4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Daniel Dufresne
2. Hiroyuki Matsumoto
3. Marc Yor

In Finance

1. Daniel Dufresne
2. Hiroyuki Matsumoto
3. Marc Yor
4. Vadim Linetsky
5. M. Schröder
6. P. Carr
7. Neil O'Connell
8. Pierre Patie

Citations in the corpus

• Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005, background): “See [5], [36] and [44] for some results and discussions on the numerical computations.”
• The log-normal approximation in financial and other computations (2004, result): “The results in Section 2 should be contrasted with the (seemingly) very different ones obtained by Barrieu et al. (2004).”