Law of the exponential functional of one-sided Lévy processes and Asian options

Details Law of the exponential functional of one-sided Lévy processes and Asian options Law of the exponential functional of one-sided Lévy processes and Asian options

2009-04-20

arxiv.org/abs/0904.3000v1

C. R. Acad. Sci. Paris, Ser. I 347, 407-411, 2009

Mathematics

Probability

Scientific paper

10.1016/j.crma.2009.02.013

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 L\'evy process \xi with unbounded
variation. We also derive a Geman-Yor type formula for Asian options prices in
a financial market driven by e^\xi.

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