First passage times of a jump diffusion process

By Steven Kou, Hui Wang. Advances in Applied Probability, 2003

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Pricing Path-Dependent Options with Jump Risk via Laplace Transforms (2005, methodology): “Kou and Wang (2004) show that, under̃ P, X(T ) still has a double exponential distribution as in (1), with drift r − δ + (1)2σ(2) − λζ and jump parameters”
Some explicit identities associated with positive self-similar Markov processes. (2007, background): “For the case of processes whose jumps are of a compound Poisson nature with exponential jumps, the overshoot distribution is again exponentially distributed; see Kou and Wang [18].”
Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007, background): “…call and put options, but also leads to a variety of closed form solutions for path-dependent options, such as barrier options, lookback options, perpetual American options (see Kou and Wang, 2003, 2004; Kou et al., 2005), as well as interest rate derivatives (see Glasserman and Kou, 2003).”
Option Pricing Under a Double Exponential Jump Diffusion Model (2004, background): “Both difficulties can be resolved under the assumption that the jump size Y has an exponential type distribution; see Kou and Wang (2003).”
From local volatility to local Lévy models (2004, background): “Such a jump component has been studied extensively in a financial context by Kou (2002) and Kou and Wang (2003).”