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Titel:

A note on the numerical evaluation of the Hartman-Watson density and distribution function

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Bernhart, G.; Mai, J.-F.
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
The Hartman-Watson distribution is an infinitely divisible probability law on the positive half-axis whose density is difficult to evaluate near zero. We compare three different methods to evaluate this density and show that the straightforward implementation along Yor's explicit formula can be improved significantly by resorting to dedicated Laplace inversion algorithms. In particular, the best method seems to be an approach that is specifically designed for distributions from the Bondesson cla...     »
Stichworte:
Laplace inversion, Hartman-Watson law, infinitely divisible distributions, Bondesson class
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
working paper
Journal gelistet in FT50 Ranking:
nein
Jahr:
2014
Seitenangaben Beitrag:
-
Reviewed:
nein
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Interdisziplinarität:
Nein
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