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Cai, N. (2009) On First Passage Times of a Hyper-Exponential Jump Diffusion Process. Operations Research Letters, 37, 127-134. http://dx.doi.org/10.1016/j.orl.2009.01.002

has been cited by the following article:

• TITLE: A Note on the Kou’s Continuity Correction Formula

  AUTHORS: Ting Liu, Chang Feng, Yanqiong Lu, Bei Yao

  KEYWORDS: B-S Model, Discrete Barrier Options, Hyper-Exponential Jump Diffusion, Continuity Correction Formula

  JOURNAL NAME: Open Journal of Social Sciences, Vol.3 No.11, November 20, 2015

  ABSTRACT: This article introduces a hyper-exponential jump diffusion process based on the continuity correction for discrete barrier options under the standard B-S model, using measure transformation and stopping time theory to prove the correction, thus broadening the conditions of the continuity correction of Kou.