# Option Pricing in Illiquid Markets with Jumps

@article{Cruz2018OptionPI, title={Option Pricing in Illiquid Markets with Jumps}, author={Jos{\'e} M. T. S. Cruz and Daniel {\vS}ev{\vc}ovi{\vc}}, journal={Applied Mathematical Finance}, year={2018}, volume={25}, pages={395 - 415} }

ABSTRACT The classical linear Black–Scholes model for pricing derivative securities is a popular model in the financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the assumption on the underlying asset price dynamics following a geometric Brownian motion. The main purpose of this paper is to generalize the classical Black–Scholes model for pricing derivative securities by taking into account feedback effects due to an…

## 4 Citations

### On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models

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Using the approach of L.C.G. Rogers and S. Singh, we added liquidity costs accounting to the model with risk adjusted pricing methodology (RAPM), generalized by M. Jandačka and D. Ševčovič. This…

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