Empirical correlations of asset returns in a group of stocks are approximated by the exponential correlation model that populates a Toeplitz matrix with closed-form expressions for its eigenvalues and ...

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 ...

We obtain a closed-form solution for the double-Laplace transform of Asian options under the hyper-exponential jump diffusion model. Similar results were available previously only in the special case ...