On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options (Q5940352)

The present paper is concerned with the deeping and refining of some previous results of \textit{P. Carmona, F. Petit} and \textit{M. Yor}, e.g. [in: Lévy processes. Theory and applications, 39-55 (2001)], where exponential functionals of Lévy processes are represented as various types of Markov processes: Lamperti's transformation establishes a one-to-one mapping between 1-dimensional Lévy processes and semi-stable Markov processes, while to a 2-dimensional Lévy process one can associate a generalized Ornstein-Uhlenbeck process (proved to be a homogeneous Markov process). The aim of the paper is to compute the value of a continuous averaged Asian option in a Black-Scholes setting, using the above stated results. More precisely, the price of Asian options is obtained from a closed formula for the Laplace transform of the first moment of certain exponential functionals of Brownian motion with drift. The resulted formula for the computation of the Asian option price is derived from an identity in law between the average on the interval \([0,t]\) of a geometric Brownian motion and the value at time \(t\) of a Markov process, for which one can compute the resolvent explicitly. The density of the resolvent depends on the confluent hypergeometric functions of first and second kind. Finally, the authors extend, from \(2\) to \(n\), a result in the paper quoted above, showing that the joint distribution of the final (infinite) values of \(n\) Markov processes can be expressed as the unique invariant measure of an \(n\)-dimensional Markov process.