The concern of this article is to derive a regime switching model that can be utilized to price European call options for a financial market that exhibits structural changes with time. The model is formulated based on the fact that the underlying asset process is described by a geometric...

We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis...