2 papers
q-fin.CP2021
Pricing spread option with liquidity adjustments
Kevin Shuai Zhang, Traian Pirvu
We study the pricing and hedging of European spread options on correlated assets when, in contrast to the standard framework and consistent with imperfect liquidity markets, the tr…
q-fin.PR2020
Numerical Simulation of Exchange Option with Finite Liquidity: Controlled Variate Model
Kevin S. Zhang, Traian A. Pirvu
In this paper we develop numerical pricing methodologies for European style Exchange Options written on a pair of correlated assets, in a market with finite liquidity. In contrast…