Option market making under inventory risk

Review of Derivatives Research

Volumn 12, Issue 1, 2009, Pages 55-79

  Stoikov, Sasha ^a   Sağlam, Mehmet ^b  

^a School of Operations Research and Industrial Engineering   (United States)

^b Columbia University ^*  (United States)

Author keywords

Delta; European options; Gamma; Inventory management; Liquidity; Market microstructure; Vega

Indexed keywords

EID: 67349257939     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11147-009-9036-3     Document Type: Article

References (12)

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