This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid. A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stochastic process and the sensitivity of the underlying price to market-wide...

Background: This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined in the study by Jerbi (Quantitative Finance,...

Background: This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined in the study by Jerbi (Quantitative Finance,...