Option Market Making with Hedging-Induced Market Impact

DOI10.1080/1350486X.2026.2671725MaRDI QIDQ7327126zbMATH OpenFDO

Authors Paulin Aubert, Etienne Chevalier, Vathana Ly Vath

Publication date 9 September 2026

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486X.2026.2671725

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Cites work

• Algorithmic market making for options
• Buy Low, Sell High: A High Frequency Trading Perspective
• Dealing with the inventory risk: a solution to the market making problem
• Deep hedging
• Dynamic optimal execution in a mixed-market-impact Hawkes price model
• High-frequency trading in a limit order book
• Optimal execution and price manipulations in time-varying limit order books
• Optimal Execution in a General One-Sided Limit-Order Book
• Optimal execution with limit and market orders
• Optimal high-frequency trading with limit and market orders
• Option market making under inventory risk
• Price Manipulation and Quasi-Arbitrage

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