References

• 1976Option pricing when underlying stock returns are discontinuous5,965 cited
• 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
• 1998The Variance Gamma Process and Option Pricing1,786 cited
• 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
• 1997Processes of normal inverse Gaussian type1,224 cited
• 2006Optimal stopping and free-boundary problems1,068 cited
• 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
• 2001The term structure of credit spreads with jump risk511 cited
• 2003Russian and American put options under exponential phase-type Lévy models339 cited
• 2007On the optimal dividend problem for a spectrally negative Lévy process302 cited
• 2004Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options264 cited
• 2002Optimal stopping and perpetual options for Lévy processes233 cited
• 2008On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes216 cited
• 2002Optimal capital structure and endogenous default214 cited
• 2005Some remarks on first passage of Lévy processes, the American put and pasting principles