Option market making under inventory risk
type: Item
instance of: scholarly article
title: Option market making under inventory risk
zbMATH Open document ID: 1168.91401
author: Sasha Stoikov
author: Mehmet Sağlam
published in: Review of Derivatives Research
publication date: 2009-08-31T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 5600273
MaRDI profile type: Publication
full work available at URL: s11147-009-9036-3
OpenAlex ID: W3123246919
cites work: European Option Pricing with Transaction Costs
cites work: A risk reserve model for hedging in incomplete markets
cites work: A market model for stochastic implied volatility
DOI: 10.1007/S11147-009-9036-3
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description: scientific article; zbMATH DE number 5600273