‎Multi asset option pricing in imperfect liquid market

‎In this work‎, ‎we examine how price impact in the underlying asset market affects‎ ‎the replication of a multi asset derivative‎. ‎We discuss the pricing and hedging of European multi‎ ‎asset option on correlated assets when‎, ‎in contrast to the standard framework and consistent with a‎ ‎market with imperfect liquidity‎, ‎the option trader’s trading in the stock market has a direct impact‎ ‎on the stocks price‎. ‎Finally‎, ‎the Black-Scholes model is developed with price impact due to a large‎ ‎trader who is able to move the price by his/her actions and obtained a generalized BlackScholes‎ ‎pricing PDE‎.