We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the … consistently commands a higher price during periods of high volatility compared to those of low volatility. Moreover, we establish … that the optimal exercise boundary is lower in highvolatility regimes than in low-volatility regimes. Additionally, we …

stochastic volatility and jumps are present. …

categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation … method is outperforming when the volatility is lower, while the Black-Sholes model and the Binomial model are outperforming …

finally provide some properties of the implied volatility smiles of Calls on Calls and lifted Calls on Calls in the Black …

The small-maturity implied volatility of an asset pricing model is fully determined by the asymptotics of traded option … a general formula for the leading order of the in-the-money and out-of the money implied volatility skew. We apply this …

trade and hedge volatile swings in Bitcoin prices effectively. The violation of constant volatility and the log …-normality assumption of the Black-Scholes option pricing model led to the discovery of the volatility smile, smirk, or skew in options … markets. These stylized facts; that is, the volatility smile and implied volatilities implied by the option prices, are well …