Hartman–Watson distribution

The Hartman-Watson distribution is an absolutely continuous probability distribution which arises in the study of Brownian functionals. It is named after Philip Hartman and Geoffrey S. Watson, who encountered the distribution while studying the relationship between Brownian motion on the n-sphere and the von Mises distribution. Important contributions to the distribution, such as an explicit form of the density in integral representation and a connection to Brownian exponential functionals, came from Marc Yor.

In financial mathematics, the distribution is used to compute the prices of Asian options with the Black-Scholes model.

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