Develops a stochastic control model for option market making with hedging-induced impact on the underlying, analyzes manipulation and arbitrage risks, proves well-posedness of the mixed control problem, and numerically approximates optimal strategies via policy optimization.
Optimal execution of portfolio transactions
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Option market making with hedging-induced market impact
Develops a stochastic control model for option market making with hedging-induced impact on the underlying, analyzes manipulation and arbitrage risks, proves well-posedness of the mixed control problem, and numerically approximates optimal strategies via policy optimization.