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arXiv · 0904.3000

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

Pierre Patie
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Abstract

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 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.

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Pierre Patie. 2009-04-20. Law of the exponential functional of one-sided Lévy processes and Asian options. https://doi.org/10.1016/j.crma.2009.02.013

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