On the distribution of exponential functionals for Levy processes with jumps of rational transform

Abstract

We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Levy processes with rational Laplace exponent. This extends recent results by Cai and Kou on the processes with hyper-exponential jumps [N. Cai and S. Kou "Prising Asian options under a general jump diffusion model", (2010)].

11 pages

References in corpus (1)

• Recurrent extensions of self-similar Markov processes and Cramér's condition II

Cited by in corpus (8)

• Distributional properties of exponential functionals of Levy processes
• Approximating Lévy processes with completely monotone jumps
• On the density of exponential functionals of Lévy processes
• Precise asymptotics for the density and the upper tail of exponential functionals of subordinators
• The distribution of refracted Lévy processes with jumps having rational Laplace transforms
• Asymptotic results for exponential functionals of Levy processes
• Statistical inference for exponential functionals of Lévy processes
• Asian options and meromorphic Levy processes