{"id":{"repo_id":"york","oai_identifier":"oai:yorkspace.library.yorku.ca:10315/34269"},"canonical_url":"https://search.dev.ndltd.org/etd/york/oai:yorkspace.library.yorku.ca:10315/34269","repository":{"repo_id":"york","name":"York University","base_url":"https://yorkspace.library.yorku.ca/oai/request"},"display":{"title":"Option Pricing in Non-Competitive Markets","abstract":"In the classic option pricing theory, the market is assumed to be competitive. The relaxation of the competitive market assumption introduces two features: liquidity cost and feedback effects. In our study, investors in non-competitive markets are divided into two categories: small investors and large investors. Small investors encounter liquidity cost while large investors face both liquidity cost and feedback effects. Chapter 2 and chapter 3 are dedicated to investigating the option pricing for small investors. In chapter 2, how to perfectly hedge options (including vanilla options and exotic options) under the supply curve model in a geometric Brownian motion model is studied. In Chapter 3, local risk minimization method is used to pricing European options with liquidity cost in a jump-diffusion model. In chapter 4, utility indifference pricing method is applied to pricing European options for large investors.","abstract_html":"In the classic option pricing theory, the market is assumed to be competitive. The relaxation of the competitive market assumption introduces two features: liquidity cost and feedback effects. In our study, investors in non-competitive markets are divided into two categories: small investors and large investors. Small investors encounter liquidity cost while large investors face both liquidity cost and feedback effects. Chapter 2 and chapter 3 are dedicated to investigating the option pricing for small investors. In chapter 2, how to perfectly hedge options (including vanilla options and exotic options) under the supply curve model in a geometric Brownian motion model is studied. In Chapter 3, local risk minimization method is used to pricing European options with liquidity cost in a jump-diffusion model. In chapter 4, utility indifference pricing method is applied to pricing European options for large investors.","abstract_has_math":false,"creators":["Zhang, Hai"],"institution":null,"degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Ku, Hyejin"],"committee_chairs":[],"committee_members":[],"year":2018,"date_issued":"2018-03-01","date_published":"2018-03-01","updated_at":"2026-07-24T06:33:53Z","subjects":["Finance"],"languages":["en"],"rights":["Author owns copyright, except where explicitly noted. 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In chapter 2, how to perfectly hedge options (including vanilla options and exotic options) under the supply curve model in a geometric Brownian motion model is studied. In Chapter 3, local risk minimization method is used to pricing European options with liquidity cost in a jump-diffusion model. In chapter 4, utility indifference pricing method is applied to pricing European options for large investors."]},{"key":"dc:title","label":"Title","values":["Option Pricing in Non-Competitive Markets"]}]}],"canonical_facts":{"dc:contributor.advisor":["Ku, Hyejin"],"dc:creator":["Zhang, Hai"],"dc:date.accessioned":["2018-03-01T13:48:09Z"],"dc:date.available":["2018-03-01T13:48:09Z"],"dc:date.issued":["2018-03-01"],"dc:description.abstract":["In the classic option pricing theory, the market is assumed to be competitive. The relaxation of the competitive market assumption introduces two features: liquidity cost and feedback effects. In our study, investors in non-competitive markets are divided into two categories: small investors and large investors. Small investors encounter liquidity cost while large investors face both liquidity cost and feedback effects. Chapter 2 and chapter 3 are dedicated to investigating the option pricing for small investors. In chapter 2, how to perfectly hedge options (including vanilla options and exotic options) under the supply curve model in a geometric Brownian motion model is studied. In Chapter 3, local risk minimization method is used to pricing European options with liquidity cost in a jump-diffusion model. In chapter 4, utility indifference pricing method is applied to pricing European options for large investors."],"dc:identifier.uri":["http://hdl.handle.net/10315/34269"],"dc:language.iso":["en"],"dc:rights":["Author owns copyright, except where explicitly noted. Please contact the author directly with licensing requests."],"dc:subject":["Finance"],"dc:title":["Option Pricing in Non-Competitive Markets"],"dc:type":["Electronic Thesis or Dissertation"]},"updated_at":"2026-07-24T06:33:53Z"}