option valuation in markets with finite liquidity under fractional cev assets

‎the aim of this paper is to numerically price the european double barrier option by calculating the governing fractional black-scholes equation in illiquid markets‎. ‎incorporating the price impact into the underlying asset dynamic‎, ‎which means that trading strategies affect the underlying price‎, ‎we consider markets with finite liquidity‎. ‎we survey both cases of first-order feedback and full feedback‎. ‎asset evolution satisfies a stochastic differential equation with fractional noise‎, ‎which is more realistic in markets with statistical dependence‎. ‎moreover‎, ‎the sinc-collocation method is used to price the option‎. ‎numerical experiments show that the results highly correspond to our expectation of illiquid markets‎.