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

Listed author(s):
  • Pierre Patie
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    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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    Paper provided by in its series Papers with number 0904.3000.

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    Date of creation: Apr 2009
    Publication status: Published in C. R. Acad. Sci. Paris, Ser. I 347, 407-411, 2009
    Handle: RePEc:arx:papers:0904.3000
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