Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Asian options and meromorphic Levy processes   One method to compute the price of an arithmetic Asian option in a Levy
driven model is based on the exponential functional of the underlying Levy
process: If we know the distribution of the exponential functional, we can
calculate the price of the Asian option via the inverse Laplace transform. In
this paper we consider pricing Asian options in a model driven by a general
meromorphic Levy process. We prove that the exponential functional is equal in
distribution to an infinite product of indepedent beta random variables, and
its Mellin transform can be expressed as an infinite product of gamma
functions. We show that these results lead to an efficient algorithm for
computing the price of the Asian option via the inverse Mellin-Laplace
transform, and we compare this method with some other techniques.

11
The categories of this paper are: hep-lat
18
The categories of this paper are: econ
26
The categories of this paper are: bayes-an
30
The categories of this paper are: q-alg
6
The categories of this paper are: astro-ph
33
The categories of this paper are: plasm-ph
13
The categories of this paper are: quant-ph
9
The categories of this paper are: nlin
35
The categories of this paper are: mtrl-th
24
The categories of this paper are: dg-ga
3
The categories of this paper are: physics
8
The categories of this paper are: hep-ex
16
The categories of this paper are: stat
7
The categories of this paper are: hep-th
28
The categories of this paper are: alg-geom
12
The categories of this paper are: nucl-th