@article{Zhang2026, 
author = {Kaihang Zhang and Liting Gao},
title = {Digital power generalized exchange option pricing considering liquidity risk},
year = {2026},
journal = {AIMS Mathematics},
volume = {11},
number = {1},
pages = {1761-1776},
keywords = {digital power exchange options, liquidity, measure transformation, numerical analysis},
url = {https://www.sciopen.com/article/10.3934/math.2026073},
doi = {10.3934/math.2026073},
abstract = {Traditional option pricing models mostly assume that the market is frictionless, ignoring the impact of liquidity on option price. In response, this paper considers a digital power generalized exchange option pricing problem when the underlying asset has liquidity risk. We obtained a closed-form digital power option pricing formula in a incomplete market by measure transformation. Finally, numerical experiments were conducted by comparing the prices computed by the new formula with those from Monte-Carlo simulations, thereby validating the accuracy of the new formula. Building on this, the impact of liquidity on option prices was further investigated.}
}