英文标题：
《Algorithmic market making for options》
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作者：
Bastien Baldacci, Philippe Bergault, Olivier Gu\\\'eant
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最新提交年份：
2020
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英文摘要：
In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset. By using an approximation of the portfolio in terms of its vega, we show that the seemingly high-dimensional stochastic optimal control problem of an option market maker is in fact tractable. More precisely, when volatility is modeled using a classical stochastic volatility model -- e.g. the Heston model -- the problem faced by an option market maker is characterized by a low-dimensional functional equation that can be solved numerically using a Euler scheme along with interpolation techniques, even for large portfolios. In order to illustrate our findings, numerical examples are provided.
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中文摘要：
在本文中，我们将解决做市商管理单一流动标的资产期权簿的问题。通过使用投资组合的vega近似值，我们证明了期权做市商看似高维的随机最优控制问题实际上是可处理的。更准确地说，当使用经典随机波动率模型（如赫斯顿模型）对波动率进行建模时，期权做市商面临的问题的特点是低维函数方程，即使对于大型投资组合，也可以使用欧拉格式和插值技术对其进行数值求解。为了说明我们的发现，给出了数值例子。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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