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math.PR2013
Asian options and meromorphic Levy processes
Daniel Hackmann, Alexey Kuznetsov
One method to compute the price of an arithmetic Asian option in a Levy driven model is based on the exponential functional of the underlying Levy process: If we know the distribut…
math.PR2013
A note on the series representation for the density of the supremum of a stable process
Daniel Hackmann, Alexey Kuznetsov
An absolutely convergent double series representation for the density of the supremum of -stable Levy process is given in [3, Theorem 2] for almost all irrational . This resu…