Option Market Making via Reinforcement Learning

Zhou Fang and Haiqing Xu

Papers from arXiv.org

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.

Date: 2023-07, Revised 2025-03
New Economics Papers: this item is included in nep-cmp and nep-mst
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