This paper discusses the European option pricing problem in the context of asset prices
being influenced by liquidity risks and economic cycles. We employ regime switching for …

This paper studies a dynamic asset-liability management problem of a company with market
frictions. Specifically, the asset prices are modeled by a multivariate geometric Brownian …

Investigating default risk in pricing options holds significant practical importance, as nearly
all market participants and institutions face credit risk. Additionally, economic cycles and …

Modern systems have become increasingly vulnerable to threats due to their growing
complexity nowadays. Multi-feature systems, prevalent in the realm of complex structures …