Option market making under inventory risk

DOI10.1007/S11147-009-9036-3zbMath1168.91401OpenAlexW3123246919MaRDI QIDQ836039

Sasha Stoikov, Mehmet Sağlam

Publication date: 31 August 2009

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-009-9036-3

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (9)

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 data-driven deep learning approach for options market making ⋮ Internalisation by electronic FX spot dealers ⋮ Endogenous Formation of Limit Order Books: Dynamics Between Trades ⋮ The self-financing equation in limit order book markets ⋮ Optimal high-frequency trading with limit and market orders ⋮ Algorithmic market making for options

Cites Work

• A risk reserve model for hedging in incomplete markets
• European Option Pricing with Transaction Costs
• A market model for stochastic implied volatility

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