2 papers
q-fin.RM2021
Option Pricing Model with Transaction Costs
F. G. Bellora, G. Mazzei, M. Maurette
The author presents alternatives to the Black-Scholes european call option pricing model by incorporating different transaction cost structures in the replicating strategy. In part…
cs.LG2021
Optimal Market Making by Reinforcement Learning
Matias Selser, Javier Kreiner, Manuel Maurette
We apply Reinforcement Learning algorithms to solve the classic quantitative finance Market Making problem, in which an agent provides liquidity to the market by placing buy and se…