摘要：Option pricing model is a wildly interested topic in an area of financial Mathematics. The pioneer model was introduced by Fischer Black and Myron Scholes which is known as the Black-Scholes model. This model was derived under various assumptions such as liquidity and no transaction costs for which a underlying asset price in stock market might not be satisfied. With this fact, the underlying asset price models were remodeled, in order to determine an option value. This research aims to extend the Black-Scholes model by relaxing the assumption of no transaction costs in illiquid markets. Also, jumps of asset price are considered in this work. To do this, a differential form of asset price with transaction costs and jumps in illiquid markets is introduced and then used to construct the extended option pricing model. Furthermore, a numerical result of a call option price under a new situation is provided.
