Ku, Hyejin2018-03-012018-03-012017-04-212018-03-01http://hdl.handle.net/10315/34269In 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.enAuthor owns copyright, except where explicitly noted. Please contact the author directly with licensing requests.FinanceElectronic Thesis or Dissertation2018-03-01Liquidity riskFeedback effectsOption pricingUtility indifference pricingLocal risk minimizationHJB equation