Options Market-Making on an Exchange Floor. Reality, NOT Theory
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Date: 09-27-2004
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Michael Lipkin, Katama Trading LLC.
Location: 412 Shapiro CEPSR, Davis Auditorium
ABSTRACT
Options modeling has typically concerned itself with options valuation. However, the standard models for options trading have been thermodynamic, assuming that there exists some time scale at which an equilibrium, arbitrage-free value of an option exists. The actual practice of options trading belies this assumption. To understand what goes on, a different perspective is needed, that of the games-player.