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ORCIDSteven Kou
Person information
- affiliation: Columbia University, New York, NY, USA
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Journal Articles
- 2023
[j23]Min Dai
, Steven Kou, H. Mete Soner, Chen Yang:
Leveraged Exchange-Traded Funds with Market Closure and Frictions. Manag. Sci. 69(4): 2517-2535 (2023)- 2022
- [j22]Min Dai, Steven Kou, Shuaijie Qian, Xiangwei Wan:
Nonconcave Utility Maximization with Portfolio Bounds. Manag. Sci. 68(11): 8368-8385 (2022) - [j21]Min Dai, Steven Kou, Chen Yang:
A Stochastic Representation for Nonlocal Parabolic PDEs with Applications. Math. Oper. Res. 47(3): 1707-1730 (2022) - 2021
- [j20]Min Dai, Hanqing Jin, Steven Kou, Yuhong Xu:
A Dynamic Mean-Variance Analysis for Log Returns. Manag. Sci. 67(2): 1093-1108 (2021) - 2019
- [j19]Ning Cai, Steven Kou:
Econometrics with Privacy Preservation. Oper. Res. 67(4): 905-926 (2019) - 2018
- [j18]Yingda Song, Ning Cai, Steven Kou:
Computable Error Bounds of Laplace Inversion for Pricing Asian Options. INFORMS J. Comput. 30(4): 634-645 (2018) - [j17]Ningyuan Chen, Steven Kou, Chun Wang:
A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure. Manag. Sci. 64(2): 784-803 (2018) - [j16]Steven Kou, Xian Hua Peng, Haowen Zhong:
Asset Pricing with Spatial Interaction. Manag. Sci. 64(5): 2083-2101 (2018) - 2017
- [j15]Steven Kou, Cindy Yu, Haowen Zhong:
Jumps in Equity Index Returns Before and During the Recent Financial Crisis: A Bayesian Analysis. Manag. Sci. 63(4): 988-1010 (2017) - 2016
- [j14]Steven Kou, Xian Hua Peng:
On the Measurement of Economic Tail Risk. Oper. Res. 64(5): 1056-1072 (2016) - 2015
- [j13]Ning Cai, Yingda Song, Steven Kou:
A General Framework for Pricing Asian Options Under Markov Processes. Oper. Res. 63(3): 540-554 (2015) - 2013
- [j12]Steven Kou, Xian Hua Peng, Chris C. Heyde:
External Risk Measures and Basel Accords. Math. Oper. Res. 38(3): 393-417 (2013) - 2012
- [j11]Ning Cai, Steven S. G. Kou:
Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model. Oper. Res. 60(1): 64-77 (2012) - [j10]Steven S. G. Kou:
First passage times and option pricing under a mixed-exponential jump diffusion model (abstract only). SIGMETRICS Perform. Evaluation Rev. 39(4): 24 (2012) - 2011
- [j9]Ning Cai, Steven S. G. Kou:
Option Pricing Under a Mixed-Exponential Jump Diffusion Model. Manag. Sci. 57(11): 2067-2081 (2011) - 2008
- [j8]Guillermo Gallego, S. G. Kou, Robert Phillips:
Revenue Management of Callable Products. Manag. Sci. 54(3): 550-564 (2008) - 2004
- [j7]S. G. Kou, Hui Wang:
Option Pricing Under a Double Exponential Jump Diffusion Model. Manag. Sci. 50(9): 1178-1192 (2004) - [j6]Samuel C. Kou, Steven S. G. Kou:
A Diffusion Model for Growth Stocks. Math. Oper. Res. 29(2): 191-212 (2004) - [j5]Chris C. Heyde, S. G. Kou:
On the controversy over tailweight of distributions. Oper. Res. Lett. 32(5): 399-408 (2004) - 2002
- [j4]S. G. Kou:
A Jump-Diffusion Model for Option Pricing. Manag. Sci. 48(8): 1086-1101 (2002) - 1999
- [j3]Mark Broadie, Paul Glasserman, Shing-Gang Kou:
Connecting discrete and continuous path-dependent options. Finance Stochastics 3(1): 55-82 (1999) - 1998
- [j2]Ioannis Karatzas, S. G. Kou:
Hedging American contingent claims with constrained portfolios. Finance Stochastics 2(3): 215-258 (1998) - 1995
- [j1]Paul Glasserman, Shing-Gang Kou:
Analysis of an Importance Sampling Estimator for Tandem Queues. ACM Trans. Model. Comput. Simul. 5(1): 22-42 (1995)
Conference and Workshop Papers
- 2008
- [c2]Xian Hua Peng, Steven S. G. Kou:
Connecting the top-down to the bottom-up: Pricing CDO under a Conditional Survival (CS) model. WSC 2008: 578-586 - 2002
- [c1]Samuel C. Kou, Steven S. G. Kou:
Asset price modeling: modeling growth stocks (part II). WSC 2002: 1524-1529
Coauthor Index
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