In this paper, option pricing models for illiquid assets are provided. The price process of the illiquid asset is specified as either a provisional price process or an execution price process. The execution price is constructed simply by adding the market preference and execution impact at the time of the execution to the provisional price process. Using this definition of the execution price, a closed-form pricing formula is derived for a single European put option, as well as for plural options of various maturities and/or strike prices. Convenient pricing formulas requiring a single numerical integration are also obtained. The results of sensitivity analyses provide positive support for this modeling approach.