Exit problems for jump processes with applications to dividend problems

A Jump-Diffusion Model for Option Pricing

Steven Kou · Management Science · 2002 · 1.9K citations

Business, Finance, Financial Economics +16

Option Pricing Under a Double Exponential Jump Diffusion Model

Steven Kou, Hui Wang · Management Science · 2004 · 637 citations

Business, Finance, Financial Economics +16

First passage times of a jump diffusion process

Steven Kou, Hui Wang · Advances in Applied Probability · 2003 · 415 citations

Engineering, Economics, Finance +17

Russian and American put options under exponential phase-type Lévy models

Søren Asmussen, Florin Avram, Martijn Pistorius · Stochastic Processes and their Applications · 2003 · 373 citations

Engineering, Economics, Finance +13

On the optimal dividend problem for a spectrally negative Lévy process

Florin Avram, Zbigniew Palmowski, Martijn Pistorius · The Annals of Applied Probability · 2007 · 318 citations · Full text

Business, Economics, Insurance +12