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arxiv: 0904.3000 · v1 · submitted 2009-04-20 · 🧮 math.PR · q-fin.PR

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

classification 🧮 math.PR q-fin.PR
keywords exponentialasianfunctionaloptionsderivedescribedistributiondriven
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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.

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