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

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  • Pierre Patie

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 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.

Suggested Citation

  • Pierre Patie, 2009. "Law of the exponential functional of one-sided L\'evy processes and Asian options," Papers 0904.3000, arXiv.org.
    • Handle: RePEc:arx:papers:0904.3000
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    File URL: http://arxiv.org/pdf/0904.3000
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    Cited by:

    1. D. Hackmann & A. Kuznetsov, 2014. "Asian options and meromorphic Lévy processes," Finance and Stochastics, Springer, vol. 18(4), pages 825-844, October.

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