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Document type:
Zeitschriftenaufsatz 
Author(s):
Bernhart, G.; Mai, J.-F. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
A note on the numerical evaluation of the Hartman-Watson density and distribution function 
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...    »
 
Keywords:
Laplace inversion, Hartman-Watson law, infinitely divisible distributions, Bondesson class 
Intellectual Contribution:
Discipline-based Research 
Journal title:
working paper 
Journal listet in FT50 ranking:
nein 
Year:
2014 
Pages contribution:
Reviewed:
nein 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
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