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...

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...

In the current paper, we develop a methodology to price lookback options for cryptocurrencies. We propose a discretely monitored window average lookback option, whose monitoring frequencies are randomly selected within the time to maturity, and whose monitoring price is the average asset price...