Option Pricing in Non-Competitive Markets

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dc.contributor.advisorKu, Hyejin
dc.creatorZhang, Hai
dc.date.accessioned2018-03-01T13:48:09Z
dc.date.available2018-03-01T13:48:09Z
dc.date.copyright2017-04-21
dc.date.issued2018-03-01
dc.date.updated2018-03-01T13:48:09Z
dc.degree.disciplineMathematics & Statistics
dc.degree.levelDoctoral
dc.degree.namePhD - Doctor of Philosophy
dc.description.abstractIn 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.urihttp://hdl.handle.net/10315/34269
dc.language.isoen
dc.rightsAuthor owns copyright, except where explicitly noted. Please contact the author directly with licensing requests.
dc.subjectFinance
dc.subject.keywordsLiquidity risk
dc.subject.keywordsFeedback effects
dc.subject.keywordsOption pricing
dc.subject.keywordsUtility indifference pricing
dc.subject.keywordsLocal risk minimization
dc.subject.keywordsHJB equation
dc.titleOption Pricing in Non-Competitive Markets
dc.typeElectronic Thesis or Dissertation

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