On the distribution of exponential functionals for Lévy processes with jumps of rational transform |
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| Authors: | A. Kuznetsov |
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| Affiliation: | Department of Mathematics and Statistics, York University, Toronto, ON, M3J 1P3, Canada |
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| Abstract: | ![]()
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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| Keywords: | Exponential functional Lé vy process Rational transform The Meijer G-function Asian option |
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