Algorithmic market making for options

DOI10.1080/14697688.2020.1766099zbMath1479.91388arXiv1907.12433OpenAlexW3047014426MaRDI QIDQ5014175

Olivier Guéant, Philippe Bergault, Bastien Baldacci

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.12433

zbMATH Keywords

optionsstochastic optimal controlmarket makingalgorithmic trading

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Related Items (5)

Closed-form Approximations in Multi-asset Market Making ⋮ Market making with inventory control and order book information ⋮ Size matters for OTC market makers: General results and dimensionality reduction techniques ⋮ A Mean-Field Game of Market-Making against Strategic Traders ⋮ A data-driven deep learning approach for options market making

Cites Work

• Unnamed Item
• Unnamed Item
• Dealing with the inventory risk: a solution to the market making problem
• Option market making under inventory risk
• Buy Low, Sell High: A High Frequency Trading Perspective
• High-frequency trading in a limit order book
• Algorithmic Trading with Model Uncertainty
• Optimal market making
• Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality
• GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
• OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Optimal high-frequency trading with limit and market orders
• Applied stochastic control of jump diffusions
• Size matters for OTC market makers: General results and dimensionality reduction techniques

This page was built for publication: Algorithmic market making for options