In this talk, we present a market equilibrium between $N$ option market makers that compete for the orders of their clients. The market makers face market illiquidity when trading the stock and manage their inventory optimally. In this framework, we exhibit a Nash equilibrium for the interaction of the agents and compute the equilibrium price of the option.
This is an ongoing work with Sergey Nadtochiy and Yavor Stoev, based on previous work with Peter Bank and Johannes Muhle-Karbe. Speaker(s): Ibrahim Ekren (Florida State University)
This is an ongoing work with Sergey Nadtochiy and Yavor Stoev, based on previous work with Peter Bank and Johannes Muhle-Karbe. Speaker(s): Ibrahim Ekren (Florida State University)
Building: | East Hall |
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Event Type: | Workshop / Seminar |
Tags: | Mathematics |
Source: | Happening @ Michigan from Department of Mathematics, Financial/Actuarial Mathematics Seminar - Department of Mathematics |