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Sponsored AI Networking Cookbook: Practical recipes for AI-assisted network automation and development AI Networking Cookbook: Practical recipes for AI-assisted network automation and development

Author

Lyndon Drake

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Preprint Sep 2026

Liquidity Provision and Rebate Design in Option Markets

We provide a model for the nested optimisation problem of market making and rebate design problems in option markets and find optimal strategies. A single market maker trades multiple European call options in a local-stochastic volatility option market with both make and take strategies, modeled, respectively, as conti...

Samuel N. Cohen, Lyndon Drake, Zi-Han Guo et al. · 0 citations

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