Law of the exponential functional of one-sided L\'evy processes and Asian options

Pierre Patie

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Abstract: The purpose of this note is to describe, in terms of a power series, the distribution function of the exponential functional, taken at some independent exponential time, of a spectrally negative L\'evy process \xi with unbounded variation. We also derive a Geman-Yor type formula for Asian options prices in a financial market driven by e^\xi.

Date: 2009-04
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Citations: View citations in EconPapers (1)

Published in C. R. Acad. Sci. Paris, Ser. I 347, 407-411, 2009

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0904.3000

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