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

DOI10.1016/j.spa.2011.09.007zbMath1234.60054arXiv1011.3856OpenAlexW2096247278MaRDI 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 processAsian optionexponential functionalMeijer G-functionrational transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80)

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