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Steven Kou
Steven Kou
Allen and Keli Questrom Professor in Finance, Boston University
bu.edu의 이메일 확인됨
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A jump diffusion model for option pricing
S Kou
Management Science 48, 1086-1101, 2002
27882002
Option pricing under a double exponential jump diffusion model
SG Kou, H Wang
Management science 50 (9), 1178-1192, 2004
8342004
First passage times of a jump diffusion process
SG Kou, H Wang
Advances in applied probability 35 (2), 504-531, 2003
6732003
A continuity correction for discrete barrier options
M Broadie, P Glasserman, S Kou
Mathematical Finance 7 (4), 325-349, 1997
5101997
Connecting discrete and continuous path-dependent options
M Broadie, P Glasserman, SG Kou
Finance and Stochastics 3, 55-82, 1999
3351999
External Risk Measures and Basel Accords
S Kou, X Peng, CC Heyde
Mathematics of Operations Research 38, 393-417, 2013
317*2013
On the pricing of contingent claims under constraints
I Karatzas, SG Kou
The annals of applied probability, 321-369, 1996
2941996
Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
N Chen, SG Kou
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009
253*2009
The term structure of simple forward rates with jump risk
P Glasserman, SG Kou
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2003
2492003
Option pricing under a mixed-exponential jump diffusion model
N Cai, SG Kou
Management Science 57 (11), 2067-2081, 2011
2242011
Analysis of an importance sampling estimator for tandem queues
P Glasserman, SG Kou
ACM Transactions on Modeling and Computer Simulation (TOMACS) 5 (1), 22-42, 1995
1701995
Hedging American contingent claims with constrained portfolios
I Karatzas, SG Kou
Finance and Stochastics 2 (3), 215-258, 1998
1661998
Jump-diffusion models for asset pricing in financial engineering
SG Kou
Handbooks in operations research and management science 15, 73-116, 2007
1642007
Pricing Asian options under a hyper-exponential jump diffusion model
N Cai, SG Kou
Operations Research 60 (1), 64-77, 2012
1292012
On the controversy over tailweight of distributions
CC Heyde, SG Kou
Operations Research Letters 32 (5), 399-408, 2004
1252004
Pricing path-dependent options with jump risk via Laplace transforms
S Kou, G Petrella, H Wang
The Kyoto Economic Review 74 (1), 1-23, 2005
1152005
On pricing of discrete barrier options
SG Kou
Statistica Sinica, 955-964, 2003
1112003
On the measurement of economic tail risk
S Kou, X Peng
Operations Research 64 (5), 1056-1072, 2016
1082016
Revenue management of callable products
G Gallego, SG Kou, R Phillips
Mangement Science 54, 550-564, 2008
108*2008
A general framework for pricing Asian options under Markov processes
N Cai, Y Song, S Kou
Operations research 63 (3), 540-554, 2015
1012015
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