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

A. Kuznetsov

Stochastic Processes and their Applications, 2012, vol. 122, issue 2, 654-663

Abstract: We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Lévy processes with rational Laplace exponent. This extends recent results by Cai and Kou [3] on the processes with hyper-exponential jumps.

Keywords: Exponential functional; Lévy process; Rational transform; The Meijer G-function; Asian option (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spa.2011.09.007

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