Market Making in the Options Markets and the Costs of Discrete Hedge Rebalancing
提供实证证据，表明期权做市商面临库存管理风险，其中无法连续再平衡期权头寸和标的股票收益波动率不确定性，分别解释了芝加哥期权交易所期权买卖价差的显著部分。
ABSTRACT In this paper we provide empirical evidence consistent with the hypothesis that options market makers face risks in managing inventory that are unique to the options markets. In particular, we show that risks associated with the inability to rebalance an option position continuously and uncertainty about the return volatility of the underlying stock each account for a statistically and economically significant proportion of the bid‐ask spreads quoted for a sample of Chicago Board Options Exchange options.