Optimal Option Market Making and Volatility Arbitrage
A novel market making model for options trading has been introduced, considering trader's volatility views and incorporating features like trading position limit, risk control, and simultaneous market making of multiple options.
Featured in No. 38 on 21 Feb 2024 · 5 days after release · 1 citation today
- Released
- 16 Feb 2024
- First featured
- No. 38 · 21 Feb 2024
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4729290
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).