Efficient computation of first passage times in Kou's jump-diffusion model

Abdel Belkaid, Frederic Utzet

S. G. Kou and H. Wang [First Passage times of a Jump Diffusion Process \textit{Ann. Appl. Probab.} {\bf 35} (2003) 504--531] give expressions of both the (real) Laplace transform o…