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Poster
in
Workshop: Advances in Financial AI: Opportunities, Innovations, and Responsible AI

Option Market Making via Reinforcement Learning

Zhou Fang · Haiqing Xu


Abstract:

Market making of options with different maturities and strikes is a challenging problem due to its highly dimensional nature. In this paper, we propose a novel approach that combines a stochastic policy and reinforcement learning-inspired techniques to determine the optimal policy for posting bid-ask spreads for an options market maker who trades options with different maturities and strikes.

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