DSpace Repository

Option Pricing in Non-Competitive Markets

Option Pricing in Non-Competitive Markets

Show full item record

Title: Option Pricing in Non-Competitive Markets
Author: Zhang, Hai
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.
Subject: Finance
Keywords: Liquidity risk
Feedback effects
Option pricing
Utility indifference pricing
Local risk minimization
HJB equation
Type: Electronic Thesis or Dissertation
Rights: Author owns copyright, except where explicitly noted. Please contact the author directly with licensing requests.
URI: http://hdl.handle.net/10315/34269
Supervisor: Ku, Hyejin
Degree: PhD - Doctor of Philosophy
Program: Mathematics & Statistics
Exam date: 2017-04-21
Publish on: 2018-03-01

Files in this item

This item appears in the following Collection(s)