American put options with regime-switching volatility

American put options with regime-switching volatility

Blog Article

We present an approach for pricing American put options with a Survey on differential privacy and its progress 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 demonstrates that, under these conditions, the perpetual put option 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 high-volatility regimes than in low-volatility regimes.

Additionally, we develop an analytical framework to describe American puts with an Erlang-distributed random-time horizon, which allows us to propose a numerical technique for approximating the value of American puts with finite expiry.We also show that a combined approach involving randomization and Richardson extrapolation can be a robust numerical algorithm for estimating American Enhanced Photocatalytic Degradation Activity of BiFeO3 Microspheres by Decoration with g-C3N4 Nanoparticles put prices with finite expiry.