Option Pricing in Illiquid Markets with Jumps

The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the assumption on the underlying asset price dynamics following a geometric Brownian motion. The main purpose of this paper is to generalize the classical Black--Scholes model for pricing derivative securities by taking into account feedback effects due to an influence of ...