Asian options and meromorphic Lévy processes

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

zbMATH Keywords

Mellin transformAsian optionsmeromorphic Lévy processeshyper-exponential process

Mathematics Subject Classification ID

Related Items (4)

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 ⋮ Approximating Lévy processes with completely monotone jumps

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