common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

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 …

are restricted in order to preserve the drift and the volatility of the project-value process that it modifies. By …

financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility … claims and deduce explicit results in a Markovian setting. -- Pricing of contingent claims ; incomplete markets ; volatility …