Algorithmic market making for options
Year of publication: |
2021
|
---|---|
Authors: | Baldacci, Bastien ; Bergault, Philippe ; Guéant, Olivier |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 1, p. 85-97
|
Subject: | Algorithmic trading | Market making | Options | Stochastic optimal control | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Kontrolltheorie | Control theory | Elektronisches Handelssystem | Electronic trading | Optionspreistheorie | Option pricing theory | Wertpapierhandel | Securities trading | Algorithmus | Algorithm |
-
Modelling optimal execution strategies for algorithmic trading
Damian, Virgil, (2015)
-
Algorithmic trading with learning
Cartea, Álvaro, (2016)
-
Algorithmic Trading, Stochastic Control, and Mutually-Exciting Processes
Cartea, Álvaro, (2019)
- More ...
-
Size matters for OTC market makers : General results and dimensionality reduction techniques
Bergault, Philippe, (2020)
-
Closed-form approximations in multi-asset market making
Bergault, Philippe, (2021)
-
Algorithmic market making in dealer markets with hedging and market impact
Barzykin, Alexander, (2023)
- More ...