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Option market making under inventory risk

Citations

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Cited by:

  1. René Carmona & Kevin Webster, 2019. "The self-financing equation in limit order book markets," Finance and Stochastics, Springer, vol. 23(3), pages 729-759, July.
  2. Fei Xie & Yang Liu & Changlong Hu & Shenbao Liang, 2025. "Dynamic Modeling of Limit Order Book and Market Maker Strategy Optimization Based on Markov Queue Theory," Mathematics, MDPI, vol. 13(5), pages 1-28, February.
  3. Bastien Baldacci & Philippe Bergault & Olivier Gu'eant, 2019. "Algorithmic market making for options," Papers 1907.12433, arXiv.org, revised Jul 2020.
  4. Wang, Xinjie & Zhong, Zhaodong (Ken), 2022. "Dealer inventory, pricing, and liquidity in the OTC derivatives markets: Evidence from index CDSs," Journal of Financial Markets, Elsevier, vol. 57(C).
  5. Qing-Qing Yang & Wai-Ki Ching & Jiawen Gu & Tak-Kuen Siu, 2020. "Trading strategy with stochastic volatility in a limit order book market," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 277-301, June.
  6. Bastien Baldacci, 2020. "High-frequency dynamics of the implied volatility surface," Papers 2012.10875, arXiv.org.
  7. Philippe Bergault & Olivier Guéant, 2021. "Size matters for OTC market makers: General results and dimensionality reduction techniques," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 279-322, January.
  8. Bastien Baldacci & Iuliia Manziuk, 2020. "Adaptive trading strategies across liquidity pools," Papers 2008.07807, arXiv.org.
  9. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  10. Kan Huang & David Simchi-Levi & Miao Song, 2012. "Optimal Market-Making with Risk Aversion," Operations Research, INFORMS, vol. 60(3), pages 541-565, June.
  11. Wang, Xinjie & (Ken) Zhong, Zhaodong, 2022. "Post-crisis regulations, market making, and liquidity in over-the-counter markets," Journal of Banking & Finance, Elsevier, vol. 134(C).
  12. Rene Carmona & Kevin Webster, 2013. "The Self-Financing Equation in High Frequency Markets," Papers 1312.2302, arXiv.org.
  13. Entrop, Oliver & Fischer, Georg, 2019. "Hedging costs and joint determinants of premiums and spreads in structured financial products," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-34-19, University of Passau, Faculty of Business and Economics.
  14. Oliver Entrop & Georg Fischer, 2020. "Hedging costs and joint determinants of premiums and spreads in structured financial products," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1049-1071, July.
  15. Philippe Bergault & Olivier Gu'eant, 2019. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Papers 1907.01225, arXiv.org, revised Sep 2022.
  16. Stewart Hodges & Hao Lin & Lan Liu, 2013. "Fixed Odds Bookmaking with Stochastic Betting Demands," European Financial Management, European Financial Management Association, vol. 19(2), pages 399-417, March.
  17. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Working Papers hal-00603385, HAL.
  18. Wujiang Lou, 2015. "Extending the Black-Scholes Option Pricing Theory to Account for an Option Market Maker's Funding Costs," Papers 1510.04370, arXiv.org.
  19. Philippe Bergault & David Evangelista & Olivier Gu'eant & Douglas Vieira, 2018. "Closed-form approximations in multi-asset market making," Papers 1810.04383, arXiv.org, revised Sep 2022.
  20. Bastien Baldacci & Joffrey Derchu & Iuliia Manziuk, 2020. "An approximate solution for options market-making in high dimension," Papers 2009.00907, arXiv.org.
  21. Rene Carmona & Kevin Webster, 2019. "Applications of a New Self-Financing Equation," Papers 1905.04137, arXiv.org.
  22. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Papers 1106.5040, arXiv.org.
  23. Wu, Wei-Shao & Liu, Yu-Jane & Lee, Yi-Tsung & Fok, Robert C.W., 2014. "Hedging costs, liquidity, and inventory management: The evidence from option market makers," Journal of Financial Markets, Elsevier, vol. 18(C), pages 25-48.
  24. Tarun Chitra & Theo Diamandis & Nathan Sheng & Luke Sterle & Kamil Yusubov, 2025. "Perpetual Demand Lending Pools," Papers 2502.06028, arXiv.org.
  25. Zhou Fang & Haiqing Xu, 2023. "Option Market Making via Reinforcement Learning," Papers 2307.01814, arXiv.org, revised Mar 2025.
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