different equities based on their moneyness does offer much guidance in understanding which option offers a better hedging …

) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in … pricing options, GARCH (Generalized Autoregressive Conditional Heteroskedasticity), implied volatility, historical volatility …, and implied volatility index (VBI) are used to determine the best volatility approach for pricing options according to …

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 …

Hedging down-and-out puts (and up-and-out calls), where the maximum payoff is reached just before a barrier is hit that … would render the claim worthless afterwards, is challenging. All hedging methods potentially lead to large errors when the …, we analyze this hedging situation, especially the case of overnight trading gaps. We show how a position in a short …

volatility process spends longer time in regime 2 than it stays in regime 1. The predicted call option prices from both models …

volatility process. The model also nests the threshold diffusion, Heston and rough Heston models. We can derive analytical …