volatility and jumps: a comprehensive study of the cev model with jumps applied to american options

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 therealism of asset price simulations. we apply the lsm algorithm to estimate optimal exercisestrategies 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 theimpact of different jump intensities on asset price dynamics. this research provides valuableinsights for effective option pricing and risk management in volatile markets.