0
$\begingroup$

There are formulas proposed by Gueant–Lehalle–Fernandez-Tapia related to the optimal bid and ask in market-making models (Optimal Market Making by Gueant or The Financial Mathematics of Market Liquidity). All the formulas are based on the constant volatility and I would like to know if somebody has tried to do research based on the varying volatility.

$\endgroup$

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.