Option Market Making via Reinforcement Learning

Zhou Fang; Haiqing Xu

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arXiv · 2307.01814

Option Market Making via Reinforcement Learning

Zhou Fang·Haiqing Xu

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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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Zhou Fang, Haiqing Xu. 2023-07-04. Option Market Making via Reinforcement Learning. https://arxiv.org/abs/2307.01814

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