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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
Bernhart, G.; Mai, J.-F.
Non-TUM Co-author(s):
nein
Cooperation:
-
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
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Interdisciplinarity:
Nein
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