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.
@article{arxiv.2307.01814,
title = {Option Market Making via Reinforcement Learning},
author = {Zhou Fang and Haiqing Xu},
journal= {arXiv preprint arXiv:2307.01814},
year = {2025}
}