Spread Option Pricing with Finite Liquidity

We discuss the pricing and hedging of European spread options on correlated assets when, incontrast to the standard framework and consistent with a market with imperfect liquidity,the option trader's trading in the stock market has a direct impact on one of the stocksprice. We consider a full

کلیدواژه ها:

Spread option ، Price impact ، Illiquid markets ، Nonlinear nance ، Asymptotic analysis ، Peaceman-Rachford scheme