Steven Kou

Best Publications

• A Jump-Diffusion Model for Option Pricing

  S. G. Kou

  2895
  Citations

• Option Pricing Under a Double Exponential Jump Diffusion Model

  S. G. Kou;Hui Wang

  901
  Citations

• FIRST PASSAGE TIMES OF A JUMP DIFFUSION PROCESS

  S. G. Kou;Hui Wang

  664
  Citations

• A Continuity Correction for Discrete Barrier Options

  Mark Broadie;Paul Glasserman;Steven Kou

  513
  Citations

• Connecting discrete and continuous path-dependent options

  Mark Broadie;Paul Glasserman;Shing-Gang Kou

  339
  Citations

• On the pricing of contingent claims under constraints

  I. Karatzas;S. G. Kou

  288
  Citations

• The Term Structure of Simple Forward Rates with Jump Risk

  Paul Glasserman;S. G. Kou

  278
  Citations

• External Risk Measures and Basel Accords

  Steven Kou;Xianhua Peng;Chris C. Heyde

  218
  Citations

• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK

  Nan Chen;S. G. Kou

  216
  Citations

• Option Pricing Under a Mixed-Exponential Jump Diffusion Model

  Unknown

  204
  Citations

• Hedging American contingent claims with constrained portfolios

  Ioannis Karatzas;S. G. Kou

  174
  Citations

• Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model

  Ning Cai;Steven Kou

  130
  Citations

• On the controversy over tailweight of distributions

  C. C. Heyde;S. G. Kou

  122
  Citations

• A Jump Diffusion Model for Option Pricing

  Steven Kou

  121
  Citations

• Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering

  Unknown

  118
  Citations

• Pricing Path-Dependent Options with Jump Risk via Laplace Transforms

  Steven Kou;Giovanni Petrella;Hui Wang

  115
  Citations

• A General Framework for Pricing Asian Options Under Markov Processes

  Ning Cai;Yingda Song;Steven Kou

  109
  Citations

• ON PRICING OF DISCRETE BARRIER OPTIONS

  S. G. Kou

  108
  Citations

• Numerical pricing of discrete barrier and lookback options via Laplace transforms

  Giovanni Petrella;Steven Kou

  102
  Citations

• Revenue Management of Callable Products

  Guillermo Gallego;S. G. Kou;Robert Phillips

  98
  Citations