Law of the exponential functional of one-sided Lévy processes and Asian options
arXiv:0904.3000 · doi:10.1016/j.crma.2009.02.013
Abstract
The purpose of this note is to describe, in terms of a power series, the distribution function of the exponential functional, taken at some independent exponential time, of a spectrally negative Lévy process ξwith unbounded variation. We also derive a Geman-Yor type formula for Asian options prices in a financial market driven by e^ξ.
References in corpus (3)
- Exponential functionals of Levy processes
- The law of the supremum of a stable Lévy process with no negative jumps
- Law of the exponential functional of a new family of one-sided Levy processes via self-similar continuous state branching processes with immigration and the Wright hypergeometric functions
Cited by in corpus (5)
- A Wiener-Hopf Type Factorization for the Exponential Functional of Levy Processes
- Law of the absorption time of some positive self-similar Markov processes
- A transformation for Lévy processes with one-sided jumps and applications
- Asian options and meromorphic Levy processes
- Intertwining certain fractional derivatives