A stochastic control approach to option market making
Year of publication: |
June 2015
|
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Authors: | El Aoud, Sofiene ; Abergel, Frédéric |
Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 1.2015, 1, p. 1-43
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Subject: | High frequency market making | stochastic optimal control | utility maximization | mean-variance framework | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Optionsgeschäft | Option trading | Mathematische Optimierung | Mathematical programming |
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