Seminar 217, Risk Management: On Optimal Options Book Execution Strategies with Market Impact

Seminar 217, Risk Management: On Optimal Options Book Execution Strategies with Market Impact

Risk Seminar
Sep 4, 2018, 11:00 AM - 12:30 PM | 1011 Evans Hall | Happening As Scheduled
Speaker: Saad Mouti, UC Berkeley (Speaker - Featured)
We consider the optimal execution of a book of options when market impact is a driver of the option price. We aim at minimizing the mean-variance risk criterion for a given market impact function. First, we develop a framework to justify the choice of our market impact function. Our model is inspired from Leland’s option replication with transaction costs where the market impact is directly part...