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.