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

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.

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Year of publication:	2012
Authors:	Kuznetsov, A.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 2, p. 654-663
Publisher:	Elsevier
Subject:	Exponential functional \| Lévy process \| Rational transform \| The Meijer G-function \| Asian option

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010875072