Title of article :
On the distribution of exponential functionals for Lévy processes with jumps of rational transform
Author/Authors :
Kuznetsov، نويسنده , , A.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2012
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.
Keywords :
Rational transform , The Meijer G-function , Asian option , Exponential functional , Lévy process
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications
