722
Views
6
CrossRef citations to date
0
Altmetric
Research Papers

Algorithmic market making for options

, &
Pages 85-97 | Received 29 Jul 2019, Accepted 01 May 2020, Published online: 04 Aug 2020

References

  • Avellaneda, M. and Stoikov, S., High-frequency trading in a limit order book. Quant. Finance, 2008, 8(3), 217–224.
  • Bergault, P. and Guéant, O., Size matters for OTC market makers: General results and dimensionality reduction techniques, 2019. Preprint arXiv:1907.01225.
  • Bergomi, L., Smile dynamics II, 2005. Available at SSRN 1493302.
  • Bergomi, L., Stochastic Volatility Modeling, 2015 (CRC Press: Boca Raton, FL).
  • Cartea, Á., Jaimungal, S. and Ricci, J., Buy low, sell high: A high frequency trading perspective. SIAM J. Financ. Math., 2014, 5(1), 415–444.
  • Cartea, Á., Jaimungal, S. and Penalva, J., Algorithmic and High-Frequency Trading, 2015 (Cambridge University Press: Cambridge).
  • Cartea, Á., Donnelly, R. and Jaimungal, S., Algorithmic trading with model uncertainty. SIAM J. Financ. Math., 2017, 8(1), 635–671.
  • El Aoud, S. and Abergel, F., A stochastic control approach to option market making. Market Microstruct. Liquid., 2015, 1(01), 1550006.
  • Gatheral, J., The Volatility Surface: A Practitioner's Guide, Volume 357, 2011 (John Wiley & Sons: Hoboken, NJ).
  • Grossman, S. J. and Miller, M. H., Liquidity and market structure. J. Finance, 1988, 43(3), 617–633.
  • Guéant, O., The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making, Volume 33, 2016 (CRC Press: Boca Raton, FL).
  • Guéant, O., Optimal market making. Appl. Math. Financ., 2017, 24(2), 112–154.
  • Guéant, O. and Lehalle, C.-A., General intensity shapes in optimal liquidation. Math. Financ., 2015, 25(3), 457–495.
  • Guéant, O. and Manziuk, I., Deep reinforcement learning for market making in corporate bonds: Beating the curse of dimensionality. Appl. Math. Financ., 2019, 26(5), 387–452.
  • Guéant, O., Lehalle, C.-A. and Fernandez-Tapia, J., Dealing with the inventory risk: A solution to the market making problem. Math. Financ. Econ., 2013, 7(4), 477–507.
  • Guilbaud, F. and Pham, H., Optimal high-frequency trading with limit and market orders. Quant. Finance, 2013, 13(1), 79–94.
  • Guilbaud, F. and Pham, H., Optimal high-frequency trading in a pro-rata microstructure with predictive information. Math. Financ., 2015, 25(3), 545–575.
  • Heston, S. L., A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financ. Stud., 1993, 6(2), 327–343.
  • Ho, T. and Stoll, H. R., Optimal dealer pricing under transactions and return uncertainty. J. Financ. Econ., 1981, 9(1), 47–73.
  • Manziuk, I., Optimal control and machine learning in finance: Contributions to the literature on optimal execution, market making, and exotic options. PhD dissertation, Université Paris 1 Panthéon-Sorbonne, 2020.
  • Øksendal, B. and Sulem, A., Applied Stochastic Control of Jump Diffusions, 2007 (Springer Science & Business Media: Berlin).
  • Saliba, P., High-frequency trading: Statistical analysis, modelling and regulation. PhD dissertation, Ecole Polytechnique, 2019.
  • Stoikov, S. and Sağlam, M., Option market making under inventory risk. Rev. Deriv. Res., 2009, 12(1), 55–79.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.