Asian options and meromorphic Lévy processes
From MaRDI portal
Publication:2255010
DOI10.1007/S00780-014-0237-8zbMath1307.60058arXiv1305.0725OpenAlexW1972106190MaRDI QIDQ2255010
Alexey Kuznetsov, Daniel Hackmann
Publication date: 6 February 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1305.0725
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
Related Items (7)
Bernstein-gamma functions and exponential functionals of Lévy processes ⋮ Exponential functionals of Lévy processes and variable annuity guaranteed benefits ⋮ On the law of homogeneous stable functionals ⋮ Asymptotics for densities of exponential functionals of subordinators ⋮ Asymptotics for short maturity Asian options in jump-diffusion models with local volatility ⋮ Moments of exponential functionals of Lévy processes on a deterministic horizon -- identities and explicit expressions ⋮ Approximating Lévy processes with completely monotone jumps
Cites Work
- Unnamed Item
- Unnamed Item
- Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization
- Extended factorizations of exponential functionals of Lévy processes
- Meromorphic Lévy processes and their fluctuation identities
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
- On the distribution of exponential functionals for Lévy processes with jumps of rational transform
- The \(\beta\)-Meixner model
- Exponential functionals of Lévy processes
- Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes
- Law of the exponential functional of one-sided Lévy processes and Asian options
- The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator
- Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
- Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
- Normal families
- Wendel's and Gautschi's inequalities: refinements, extensions, and a class of logarithmically completely monotonic functions
- Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity
- Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
- Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions
- PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
- A Wiener-Hopf type factorization for the exponential functional of Lévy processes
- FOUR LOGARITHMICALLY COMPLETELY MONOTONIC FUNCTIONS INVOLVING GAMMA FUNCTION
- APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Pricing Asian options in a semimartingale model
- On the numerical quadrature of highly-oscillating integrals I: Fourier transforms
- Semi-stable Markov processes. I
- Conditioned stable Lévy processes and the Lamperti representation
- A Special Case of the Filon Quadrature Formula
- On some inequalities for the gamma and psi functions
This page was built for publication: Asian options and meromorphic Lévy processes
