BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS

Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model

(2012) Ning Cai et al.   OPERATIONS RESEARCH

Option Pricing Under a Mixed-Exponential Jump Diffusion Model

(2011) Ning Cai et al.   MANAGEMENT SCIENCE

Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options

(2010) Ning Cai et al.   MATHEMATICS OF OPERATIONS RESEARCH

Hedging variance options on continuous semimartingales

(2009) Peter Carr et al.   FINANCE AND STOCHASTICS

Gamma expansion of the Heston stochastic volatility model

(2009) Paul Glasserman et al.   FINANCE AND STOCHASTICS

Pricing double-barrier options under a flexible jump diffusion model

(2009) Ning Cai et al.   OPERATIONS RESEARCH LETTERS