El-khatib, Youssef; Hatemi-J, Abdulnasser - Volkswirtschaftliche Fakultät, … - 2013
underlying asset does not affect the price of that asset. This asumption can be fulfilled only in perfectly liquid markets. Since … most markets are illqiud, this asumption might be too restrictive. Thus, taking into account the price impact in option … pricing is an important issue. This issue has been dealt with, to some extent, for illiquid markets by assuming a continuous …