| Volatility and Jumps: A Comprehensive Study of the CEV Model with Jumps Applied to American Options |
| کد مقاله : 1027-FEMATH8 |
| نویسندگان |
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سمیه فلاح لیچائی * Department of Mathematics, Faculty of Mathematical Sciences, Alzahra University, Tehran, Iran |
| چکیده مقاله |
| This study explores American option pricing using the Least-Squares Monte Carlo (LSM) algorithm under the Constant Elasticity of Variance (CEV) model with double exponential jumps. The CEV model captures market volatility and sudden price changes, enhancing the realism of asset price simulations. We apply the LSM algorithm to estimate optimal exercise strategies and option prices, considering varying strike prices and times to maturity. Our findings highlight the sensitivity of American put options to these parameters and demonstrate the impact of different jump intensities on asset price dynamics. This research provides valuable insights for effective option pricing and risk management in volatile markets. |
| کلیدواژه ها |
| CEV model Jump diffusion process Option pricing LSM algorithm |
| وضعیت: پذیرفته شده برای ارائه شفاهی |
