Option Market Making with Imperfect Competition


Option pricing models typically consider either monopolistic market makers, or settings with infinite competition. Real markets, however, are often dominated by a few large dealers with substantial market power. We study how... [ view full abstract ]


  1. Martin Herdegen (Warwick)
  2. Johannes Muhle-Karbe (Carnegie Mellon University)
  3. Florian Stebegg (Columbia University)

Topic Areas

Equilibrium Models , Game Theory , Hedging


TU-P-SW » Equilibria: Macro - and Microeconomic Aspects (14:30 - Tuesday, 17th July, Swift)

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