Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding delta and gamma is hedged. Algorithm was run on Optiver’s Optibook market making simulator.
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View Code? Open in Web Editor NEWAlgorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask credit. Further, outstanding delta and gamma is hedged. Algorithm was run on Optiver’s Optibook market making simulator.