What Are the Limitations of Applying the Black-Scholes Model to American-Style Crypto Options?

The Black-Scholes model is strictly designed for European-style options, which can only be exercised at expiration. American-style options can be exercised any time up to expiration.

This early exercise feature adds complexity that the original Black-Scholes formula cannot account for. More complex numerical methods, like the binomial or trinomial model, are required to accurately price American options.