论文标题
高维度的期权营销的大概解决方案
An approximate solution for options market-making in high dimension
论文作者
论文摘要
在几个基础上管理一本选择书涉及控制数千个金融资产的头寸。它是涉及定价和微观结构建模的最具挑战性的财务问题之一。选项做市商必须管理具有截然不同的动态的长期和短期选项。特别是，短期期权清单不能作为汇总清单的一部分进行管理，该清单阻止了降低降低技术（例如阶乘方法或一阶希腊人近似）的使用。在本文中，我们表明，与现有算法设计选项市场制定策略相比，对市商问题解决方案的简单分析近似提供了明显更高的灵活性。
Managing a book of options on several underlying involves controlling positions of several thousands of financial assets. It is one of the most challenging financial problems involving both pricing and microstructural modeling. An options market maker has to manage both long- and short-dated options having very different dynamics. In particular, short-dated options inventories cannot be managed as a part of an aggregated inventory, which prevents the use of dimensionality reduction techniques such as a factorial approach or first-order Greeks approximation. In this paper, we show that a simple analytical approximation of the solution of the market maker's problem provides significantly higher flexibility than the existing algorithms designing options market making strategies.
