| Option pricing under a mixed-exponential jump diffusion model N Cai, SG Kou Management Science 57 (11), 2067-2081, 2011 | 209 | 2011 |
| Pricing Asian options under a hyper-exponential jump diffusion model N Cai, SG Kou Operations Research 60 (1), 64-77, 2012 | 127 | 2012 |
| A General Framework for Pricing Asian Options Under Markov Processes N Cai, Y Song, S Kou Operations Research 63 (3), 540-554, 2015 | 99 | 2015 |
| On first passage times of a hyper-exponential jump diffusion process N Cai Operations Research Letters 37 (2), 127-134, 2009 | 89 | 2009 |
| Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options N Cai, N Chen, X Wan Mathematics of Operations Research 35 (2), 412-437, 2010 | 73 | 2010 |
| Pricing double-barrier options under a flexible jump diffusion model N Cai, N Chen, X Wan Operations Research Letters 37 (3), 163-167, 2009 | 67 | 2009 |
| Exact Simulation of the SABR Model N Cai, Y Song, N Chen Operations Research 65 (4), 931-951, 2017 | 49 | 2017 |
| Valuation of stock loans with jump risk N Cai, L Sun Journal of Economic Dynamic and Control 40 (3), 213-241, 2014 | 39 | 2014 |
| Closed-form Expansions of Discretely Monitored Asian Options in Diffusion Models N Cai, C Li, C Shi Mathematics of Operations Research 39 (3), 789-822., 2014 | 39 | 2014 |
| A Unified Framework for Computing Regime-Switching Models N Cai, S Kou, Y Song http://ssrn.com/abstract=3310365, 2019 | 34* | 2019 |
| A two-sided Laplace inversion algorithm with computable error bounds and its applications in financial engineering N Cai, SG Kou, Z Liu Advances in Applied Probability 46 (3), 766-789, 2014 | 34* | 2014 |
| Computable Error Bounds of Laplace Inversion for Pricing Asian Options Y Song, N Cai, S Kou INFORMS Journal on Computing 30 (4), 634-645, 2018 | 25 | 2018 |
| Pricing and hedging of quantile options in a flexible jump diffusion model N Cai Journal of Applied Probability 48 (3), 637-656, 2011 | 13 | 2011 |
| Econometrics with privacy preservation N Cai, S Kou Operations research 67 (4), 905-926, 2019 | 12 | 2019 |
| International Reserve Management: A Drift Switching Reflected Jump Diffusion Model N Cai, X Yang Mathematical Finance 28 (1), 409-446, 2018 | 9 | 2018 |
| A Two-dimensional, Two-sided Euler Inversion Algorithm with Computable Error Bounds and Its Financial Applications N Cai, C Shi Stochastic Systems 4 (2), 404-448, 2014 | 7 | 2014 |
| A Computational Approach to First Passage Problems of Reflected Hyper-Exponential Jump Diffusion Processes N Cai, X Yang INFORMS Journal on Computing 33 (1), pp. 216-229, 2021 | 4 | 2021 |
| A Two-Factor Model for Electricity Spot and Futures Prices JR Birge, N Cai, SG Kou Working paper, 2011 | 4 | 2011 |
| Pricing Discretely Monitored Barrier Options: When Malliavin Calculus Expansions Meet Hilbert Transforms N Cai, C Li, C Shi Journal of Economic Dynamics and Control 127 (6), 104113, 2021 | 3 | 2021 |
| Regime Classification and Stock Loan Valuation N Cai, W Zhang Operations Research 68 (4), 965-983, 2020 | 2 | 2020 |
