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

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dc.creatorPatie, Pierre
dc.date2009-04-20
dc.date.accessioned2026-07-07T13:06:44Z
dc.date.available2026-07-07T13:06:44Z
dc.descriptionThe 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.
dc.identifierhttps://arxiv.org/abs/0904.3000
dc.identifierhttp://arxiv.org/abs/0904.3000
dc.identifierC. R. Acad. Sci. Paris, Ser. I 347, 407-411, 2009
dc.identifierdoi:10.1016/j.crma.2009.02.013
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/227875
dc.subjectProbability
dc.subjectPricing of Securities
dc.subject60G51, 33C15, 91B28
dc.titleLaw of the exponential functional of one-sided Lévy processes and Asian options
dc.typetext

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