Management Science, Vol. 35, No. 10 (Oct., 1989), pp. 1236-1246 (11 pages) A simple time series model for bivariate exponential variables having first-order autoregressive structure is presented, the ...

We demonstrate that a double exponential jump diffusion model can lead to an analytic approximation for finite-horizon American options (by extending the Barone-Adesi and Whaley method) and analytical ...