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S. Fourati, “Explicit Solutions of the Exit Problem for a Class of Lévy Processes; Applications to the Pricing of Double-Barrier Options,” Stochastic Processes and their Applications, Vol. 122, No. 3, 2012, pp. 1034-1067. doi:10.1016/j.spa.2011.09.008

has been cited by the following article:

• TITLE: Two-Sided First Exit Problem for Jump Diffusion Distribution Processes Having Jumps with a Mixture of Erlang

  AUTHORS: Yuzhen Wen, Chuancun Yin

  KEYWORDS: First Exit Time; Two-Sided Jumps; Jump Diffusion Process; Overshoot

  JOURNAL NAME: Applied Mathematics, Vol.4 No.8, July 30, 2013

  ABSTRACT: In this paper, we consider the two-sided first exit problem for jump diffusion processes having jumps with rational Laplace transforms. We investigate the probabilistic property of conditional memorylessness, and drive the joint distribution of the first exit time from an interval and the overshoot over the boundary at the exit time.