Law of the exponential functional of one-sided Lévy processes and Asian options

DOI10.1016/j.crma.2009.02.013zbMath1162.60015arXiv0904.3000OpenAlexW2025354549MaRDI QIDQ1012394

Pierre Patie

Publication date: 16 April 2009

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.3000

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Probability distributions: general theory (60E05) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Asian Options Under One-Sided Lévy Models ⋮ Tail asymptotics for exponential functionals of Lévy processes: the convolution equivalent case ⋮ Law of the absorption time of some positive self-similar Markov processes ⋮ Intertwining certain fractional derivatives ⋮ Asian options and meromorphic Lévy processes ⋮ A transformation for spectrally negative Lévy processes and applications

Cites Work

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• Present value distributions with applications to ruin theory and stochastic equations
• q-Invariant Functions for Some Generalizations of the Ornstein-Uhlenbeck Semigroup
• Semi-stable Markov processes. I
• Exponential functionals of Brownian motion and related processes

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