Law of the exponential functional of one-sided L\'evy processes and Asian options

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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Year of publication:	2009-04
Authors:	Patie, Pierre
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in C. R. Acad. Sci. Paris, Ser. I 347, 407-411, 2009
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005083885