Law of the exponential functional of one-sided L\'evy processes and Asian options
AbstractThe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0904.3000.
Date of creation: Apr 2009
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Publication status: Published in C. R. Acad. Sci. Paris, Ser. I 347, 407-411, 2009
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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