On the distribution of exponential functionals for Levy processes with jumps of rational transform
Probability
2012-01-30 v2
Abstract
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 on the processes with hyper-exponential jumps [N. Cai and S. Kou "Prising Asian options under a general jump diffusion model", (2010)].
Keywords
Cite
@article{arxiv.1011.3856,
title = {On the distribution of exponential functionals for Levy processes with jumps of rational transform},
author = {Alexey Kuznetsov},
journal= {arXiv preprint arXiv:1011.3856},
year = {2012}
}
Comments
11 pages