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

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:122

Article

Kuznetsov, A.

关键词: Exponential functional;    Levy process;    Rational transform;    The Meijer G-function;    Asian option;   

DOI  :  10.1016/j.spa.2011.09.007

来源: Elsevier

【 摘 要 】

We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Levy processes with rational Laplace exponent. This extends recent results by Cai and Kou [3] on the processes with hyper-exponential jumps. (C) 2011 Elsevier B.V. All rights reserved.

【 授权许可】

Free