An approximate solution for options market-making in high dimension

An algorithm for the market-making of options on different underlyings is proposed


In this paper, Bastien Baldacci, Joffrey Derchu and Iuliia Manziuk show that a simple analytical approximation of the solution of the market-maker’s problem provides significantly greater flexibility than the existing algorithms when designing options market-making strategies

After the electronification of delta-one trading, where high-frequency trading companies provide most of the liquidity on several thousands of assets, systematic options trading seems to be

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