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...

As it is well-known, the centrepiece of model calibration is regularization which plays an important role in transforming an ill-posed calibration problem into a stable and well-formulated one. Empirically, this realm of research has not been explored in much details in the literature. The goal...

Short sell bans are often imposed during a financial crisis as a desperate measure to stabilize financial markets. Yet, the impact of short sell bans on option pricing and hedging is not well quantitatively studied until very recently when Guo and Zhu (2017) and He and Zhu (2018) formulated a...