This thesis contains two parts. The first part is using the concept of zero-level pricing provided by Luenberger (1998) to price a stock call option, and under the quadratic form utility function, we get an universal zero-level price for the stock call option. Comparing to the call option formula provided by Black-Scholes (1973), we find that the stock call option's price derived from the zero-level framework not only has a similar formula form to Black-Scholes's, but also has a similar trend to the Black-Scholes formula in the numerical analysis. The second part of this thesis is to extend the model of Luenberger (2002) by adding the transaction costs to the non-marketed asset. We find that the zero-level price of this non-marketed asset still exists but it is not unique. We get a range of the zero-level prices for the non-marketed asset. As the price of the non-marketed asset is in this range, an investor will choose to hold at zero level.