On the distribution of exponential functionals for Lévy processes with jumps of rational transform

DOI10.1016/j.spa.2011.09.007zbMath1234.60054arXiv1011.3856MaRDI QIDQ665445

Alexey Kuznetsov

Publication date: 5 March 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.3856

zbMATH Keywords

Lévy process; Asian option; exponential functional; Meijer G-function; rational transform

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G80: Financial applications of other theories

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