期权做市商策略的paper。

      【Abstract】
      We propose a mean-variance framework to analyze the optimal quoting policy of an option market
maker. The market maker’s profits come from the bid-ask spreads received over the course of a
trading day, while the risk comes from uncertainty in the value of his portfolio, or inventory. Within
this framework, we study the impact of liquidity and market incompleteness on the optimal bid and
ask prices of the option. First, we consider a market maker in a complete market, where continuous
trading in a perfectly liquid underlying stock is allowed. In this setting, the market maker may remove
all risk by Delta hedging, and the optimal quotes will depend on the option’s liquidity, but not on the
inventory. Second, we model a market maker who may not trade continuously in the underlying stock,
but rather sets bid and ask quotes in the option and this illiquid stock. We find that the optimal
stock and option quotes depend on the relative liquidity of both instruments as well as on the net
Delta of the inventory. Third, we consider an incomplete market with residual risks due to stochastic
volatility and large overnight moves in the stock price. In this setting, the optimal quotes depend on
the liquidity of the option and on the net Vega and Gamma of the inventory.

看一看，谢谢分享。。。

thanks ..

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