Option market making under inventory risk

Sasha Stoikov, Mehmet Sağlam · 2009 · Review of Derivatives Research

AdvancedHFTTheory

Extends inventory-based market making to options, where delta and vega exposure drive the quote skew.

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At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: HFT
Data needed: None to read it; no dataset required Set what data you have
Themes: Market making Options & volatility
Assets: Options
Market: Global

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Cite

@article{stoikov2009option,
  author = {Stoikov, Sasha and Sağlam, Mehmet},
  title = {{Option market making under inventory risk}},
  journal = {Review of Derivatives Research},
  year = {2009},
  doi = {10.1007/s11147-009-9036-3}
}

Stoikov, S., & Sağlam, M. (2009). Option market making under inventory risk. Review of Derivatives Research. https://doi.org/10.1007/s11147-009-9036-3