Option market making under inventory risk

DOI10.1007/S11147-009-9036-3zbMATH Open1168.91401OpenAlexW3123246919MaRDI QIDQ836039FDOQ836039

Authors: 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

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Mathematics Subject Classification ID

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

Cites Work

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

Cited In (14)

• Endogenous formation of limit order books: dynamics between trades
• The self-financing equation in limit order book markets
• Closed-form Approximations in Multi-asset Market Making
• Internalisation by electronic FX spot dealers
• A data-driven deep learning approach for options market making
• Dealing with the inventory risk: a solution to the market making problem
• Risk minimization inventory model with a profit target and option contracts under spot price uncertainty
• Algorithmic market making for options
• Optimal high-frequency trading with limit and market orders
• Size matters for OTC market makers: General results and dimensionality reduction techniques
• Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
• INVENTORY HEDGING AND OPTION MARKET MAKING
• Optimal market-making with risk aversion
• Market making with inventory control and order book information

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