In this paper, we investigate the pricing of vulnerable European options in a market where the underlying stocks are not perfectly liquid. A liquidity discount factor is used to model the effect of liquidity risk in the market, and the default risk of the option issuer is incorporated into the model using a reduced-form model, where the default intensity process is correlated with the liquidity risk. We obtain a semiclosed-form pricing formula of vulnerable options through the inverse Fourier transform. Finally, we illustrate the effects of default risk and liquidity risk on option prices numerically.

中文翻译：

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具有市场流动性风险的脆弱欧洲期权的估值

在本文中，我们研究了标的股票流动性不完全的市场中易受影响的欧洲期权的定价。使用流动性贴现因子对市场流动性风险的影响进行建模，并使用简化模型将期权发行人的违约风险纳入模型中，其中违约强度过程与流动性风险相关。通过傅里叶逆变换，我们得到了脆弱期权的半闭式定价公式。最后，我们从数值上说明了违约风险和流动性风险对期权价格的影响。