INVENTORY HEDGING AND OPTION MARKET MAKING

DOI10.1142/S0219024904002670zbMath1090.91040MaRDI QIDQ4662049

Antoine Giannetti, Rui Zhong, Lixin Wu

Publication date: 30 March 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

inventory modelOption market making

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Financial statement planning in the presence of tax constraints
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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