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 …

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck call option contract using … the Brownian motion. There is significant time variation in the implied volatility smile and the traditional Black … and get better estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility …