arXiv research

We develop series expansions in powers of $q^{-1}$ and $q^{-1/2}$ of solutions of the equation $ψ(z) = q$, where $ψ(z)$ is the Laplace exponent of a hyperexponential Lévy process. As a direct consequence we derive analytic expressions for the prices of European call and put options and their Greeks (Theta, Delta, and G…

A hybrid model combines BPH and HE distributions for better heavy-tailed distribution approximation.

Let $H$ be a hyperexponential function in $n$ variables $x=(x_1,\dots,x_n)$ with coefficients in a field $\mathbb{K}$, $[\mathbb{K}:\mathbb{Q}] <\infty$, and $ω$ a rational differential $1$-form. Assume that $Hω$ is closed and $H$ transcendental. We prove using Schanuel conjecture that there exist a univariate function…