Option Pricing in Non-Competitive Markets

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.

Author dc:creator

• Zhang, Hai

Advisor dc:contributor.advisor

• Ku, Hyejin

• Finance

Statement dc:rights

• Author owns copyright, except where explicitly noted. Please contact the author directly with licensing requests.

Language dc:language.iso

en

Handle dc:identifier.uri

http://hdl.handle.net/10315/34269

OAI identifier oai:identifier

oai:yorkspace.library.yorku.ca:10315/34269